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http://bura.brunel.ac.uk/handle/2438/24780
Title: | Modelling persistence and non-linearities in the US Treasury 10-year bond yields |
Authors: | Caporale, GM Gil-Alana, LA Yaya, OS |
Keywords: | non-linearities;Chebyshev polynomials;Fourier functions;persistence;US Treasury;10-year bond yields |
Issue Date: | 2022 |
Publisher: | AccessEcon LLC |
Citation: | Caporale. G.M., Gil-Alana. L.A., Yaya. O.S. (2022) 'Modelling persistence and non-linearities in the US Treasury 10-year bond yields', Economics Bulletin, 0 (accepted, in press), pp. 1 - 11. [CESifo Working Paper No. 9554, Available at SSRN: https://ssrn.com/abstract=4031192 10.2139/ssrn.4031192]. |
Series/Report no.: | CESifo Working Paper;No. 9554 |
Abstract: | This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and monthly data provide evidence of non-linear structures and mean reversion (i.e., of transitory effects of shocks) under the assumption of autocorrelated errors. |
URI: | https://bura.brunel.ac.uk/handle/2438/24780 |
DOI: | https://doi.org/10.2139/ssrn.4031192 |
Other Identifiers: | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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