Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates
使用分数差分模型，将美国国债收益率的两个特征（短期利率的持久性和收益率曲线长端的波动性）与现代资产定价理论相协调，并指出该过程可能源于异质主体对货币政策变化的反应。
The authors use a fractional difference model to reconcile two features of yields on U.S. government bonds with modern asset pricing theory: the persistence of the short rate and the variability of the long end of the yield curve. They suggest that this process might arise from the response of heterogeneous agents to changes in monetary policy. Copyright 1993 by Ohio State University Press.