SHIBATA, RITEI; MIURA, RYOZO - In: Asia-Pacific Financial Markets 4 (1997) 2, pp. 125-146
Seven different Japanese Yen interest rates recorded on a daily basis for the period from 1986 to 1992 are simultaneously analyzed. By introducing a new concept of ‘short term trend’, we decompose each interest rate series into three components, ‘long termtrend’, ‘short term trend’...
