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MEAN REVERSION IN THE US TREASURY CONSTANT MATURITY RATES Guglielmo
| Content Provider | Semantic Scholar |
|---|---|
| Author | Caporalea, Maria Gil-Alanab, Luis A. |
| Copyright Year | 2007 |
| 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. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://bura.brunel.ac.uk/bitstream/2438/1034/1/0705.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Autocorrelation Capability Maturity Model Diagnostic tests Differintegral Entity Name Part Qualifier - adopted Model selection Null Value Population Parameter Reversion (software development) Shock Small Specification Statistical model White noise orders - HL7PublishingDomain |
| Content Type | Text |
| Resource Type | Article |
