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00-064/2 - Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration


  • Author
    Winfried G. Hallerbach, Erasmus University Rotterdam
  • Publication date
    July 31, 2000
  • Keywords
    interest rates; duration; averaging; time series properties; spurious autocorrelation
  • JEL
    C13; C22; C82; E43; G10