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