Mean Reversion in the Us Treasury Constant Maturity Rates
نویسندگان
چکیده
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.
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