Cajueiro, Daniel O.; Tabak, Benjamin M. - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 603-614
In this paper we present evidence of long-range dependence in LIBOR interest rates. We study a data set from 2000 to 2005, for six different currencies and various maturities. Empirical results suggest that the degree of long-range dependence decreases with maturity, with the exception of...
