FRÖMMEL, M.; KRUSE, R. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2009
In this paper we analyze the convergence of interest rates in the European Monetary System (EMS) in a framework of changing persistence. This allows us to estimate the exact date of full convergence from the data. A change in persistence means that a time series switches from stationarity to...