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http://bura.brunel.ac.uk/handle/2438/24780Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Caporale, GM | - |
| dc.contributor.author | Gil-Alana, LA | - |
| dc.contributor.author | Yaya, OS | - |
| dc.date.accessioned | 2022-07-04T10:03:29Z | - |
| dc.date.available | 2022-07-04T10:03:29Z | - |
| dc.date.issued | 2022 | - |
| dc.identifier | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 | - |
| dc.identifier.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]. | en_US |
| dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/24780 | - |
| dc.description.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. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | AccessEcon LLC | - |
| dc.relation.ispartofseries | CESifo Working Paper;No. 9554 | - |
| dc.rights | The objective of the Economics Bulletin is to make information concerning ongoing research in economics available as widely and as quickly as possible. In particular, authors are free to make any use of work they publish in the Economics Bulletin, be it commercial or noncommercial. ... Specifically, the Author retains the right to reuse or reproduce all work accepted for publication at the Economics Bulletin in any form he chooses subject to the sole condition that proper acknowledgment is made of its prior publication in Economics Bulletin. | - |
| dc.rights.uri | http://www.accessecon.com/Store/Economics%20Bulletin%20author%20guildlines-2012.pdf | - |
| dc.subject | non-linearities | en_US |
| dc.subject | Chebyshev polynomials | en_US |
| dc.subject | Fourier functions | en_US |
| dc.subject | persistence | en_US |
| dc.subject | US Treasury | en_US |
| dc.subject | 10-year bond yields | en_US |
| dc.title | Modelling persistence and non-linearities in the US Treasury 10-year bond yields | en_US |
| dc.type | Article | en_US |
| dc.identifier.doi | https://doi.org/10.2139/ssrn.4031192 | - |
| dc.relation.isPartOf | Economics Bulletin | - |
| pubs.publication-status | Accepted | - |
| pubs.volume | 0 | - |
| dc.identifier.eissn | 1545-2921 | - |
| dc.rights.holder | The Authors | - |
| Appears in Collections: | Dept of Economics and Finance Research Papers | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | 332 kB | Adobe PDF | View/Open |
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