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http://bura.brunel.ac.uk/handle/2438/1034| 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. |
| URI: | http://bura.brunel.ac.uk/handle/2438/1034 |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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