Cointegrated dynamics for a generalized long memory process : an application to interest rates

Manabu Asai (Faculty of Economics, Soka University, Japan, Shelton Peiris (School of Mathematics and Statistics, University of Sydney, Australia), Michael McAleer (Department of Finance, Asia University, Taiwan, Discipline of Business Analytics, University of Sydney Business School, Australia, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands, Department of Economic Analysis and ICAE, Complutense University of Madrid, Spain, Institute of Advanced Sciences, Yokohama National University, Japan), David E. Allen (School of Mathematics and Statistics, University of Sydney, Australia, Department of Finance, School of Business and Law, Edith Cowan University, Australia, Department of Finance, Asia University, Taiwan)