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http://bura.brunel.ac.uk/handle/2438/1034Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Caporale, GM | - |
| dc.contributor.author | Gil-Alana, LA | - |
| dc.coverage.spatial | 11 | en |
| dc.date.accessioned | 2007-07-06T15:51:19Z | - |
| dc.date.available | 2007-07-06T15:51:19Z | - |
| dc.date.issued | 2007 | - |
| dc.identifier.citation | Economics and Finance Working papers, Brunel University, 07-05 | en |
| dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/1034 | - |
| dc.description.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. | en |
| dc.format.extent | 168380 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en | - |
| dc.publisher | Brunel University | en |
| dc.subject | Fractional integration; Long memory. | en |
| dc.title | Mean Reversion in the US Treasury Constant Maturity Rates | en |
| dc.type | Research Paper | en |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers | |
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