Mean reversion in the US treasury constant maturity rates
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چکیده
منابع مشابه
Mean Reversion in the Us Treasury Constant Maturity Rates
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,...
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ژورنال
عنوان ژورنال: International Journal of Risk Assessment and Management
سال: 2009
ISSN: 1466-8297,1741-5241
DOI: 10.1504/ijram.2009.022197