Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/5061
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dc.contributor.authorCaporale, GM-
dc.contributor.authorGil-Alana, LA-
dc.date.accessioned2011-04-18T11:28:31Z-
dc.date.available2011-04-18T11:28:31Z-
dc.date.issued2010-
dc.identifier.citationEconomics and Finance Working Paper, Brunel University, 10-04en_US
dc.identifier.urihttp://bura.brunel.ac.uk/handle/2438/5061-
dc.description.abstractThis note examines the stochastic properties of US term spreads with parametric and semiparametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The results indicate that US Treasury maturity rates are I(1) in most cases, although the order of integration decreases with maturity. Further, mean reversion occurs for the 5, 7 and 10 year rates as well as for several term spreads, suggesting that the expectation hypothesis of the term structure is satisfied empirically.en_US
dc.language.isoenen_US
dc.publisherBrunel Universityen_US
dc.subjectTerm structureen_US
dc.subjectLong memoryen_US
dc.subjectFractional integrationen_US
dc.subjectFractional cointegrationen_US
dc.titleFractional cointegration in US term spreadsen_US
dc.typeWorking Paperen_US
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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