Please use this identifier to cite or link to this item:
Title: Mean Reversion in the US Treasury Constant Maturity Rates
Authors: Caporale, GM
Gil-Alana, LA
Keywords: Fractional integration; Long memory.
Issue Date: 2007
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 07-05
Abstract: The daily structure of the US Treasury Constant Maturity Rates is investigated in this paper by means of fractional integration techniques. Using a version of the tests of Robinson (1994) along with a model selection criterion based on diagnostic tests on the residuals, we show that the behaviour of this series can be captured by I(d) statistical models with the fractional parameter d close to, but smaller than 1, which indicates mean reversion.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
0705.pdf164.43 kBAdobe PDFView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.