When frequency rises both the inductance and the resistance of any length of wire changes, even if there's no magnetic core (dry air at normal pressure has almost the same permeability of vacuum).
This is due mainly to skin effect and proximity effect.
There is a math-heavy explanation of the phaenomena here: The Influence of Frequency upon the Self-Inductance of Coils - by J.G.Coffin, Clark University, Worcester, Mass. (this is a scan of an old document, but references basic EM theory).
Excerpts:
When currents of low frequency pass through the wires of a coil, the
current distributes itself uniformly over the cross sections of the
wires. With increasing frequency,this uniform current density no
longer prevails, but, as is well known, at least for straight wires,
the current density becomes greater at the surface of the wire at the
expense of that of the interior. The corresponding lines of magnetic
force become differently distributed, and in consequence the
self-inductance suffers a change. A short calculation will show the
direction and amount of the change for circuits in which the curvature
of the wire may be assumed negligible, and the theory derived for
straight wires used. The theory of this distribution of the current
density in straight wires, which has been thoroughly worked out by
Lord Rayleigh and by Stefan, is not applicable without modification to
the distribution of current density in coils of wire. The following
argument shows that the effect of increasing frequency is to diminish
self-inductance.
Here is another relevant article.
Excerpts:
Whenever you alter the path of current, you
alter the inductance. Because the skin effect modifies the
distribution of current within the conductor, it must also change the
inductance of that conductor. You can observe this in very careful
measurements of transmission-line inductance at high and low
frequencies.
[...]
POINTS TO REMEMBER
- The distribution of current at high frequencies minimizes inductance.
- At DC, the path of least DC resistance creates a slightly higher inductance.
- Good models for skin effect take into account changes in both resistance and inductance with frequency.