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|Title:||Mean Reversion in the US Treasury Constant Maturity Rates|
|Keywords:||Fractional integration; Long memory.|
|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
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