Authors: Guglielmo Maria Caporale, Luis A. Gil-Alana
Addresses: Centre for Empirical Finance, Brunel University, Uxbridge, Middlesex UB8 3PH, UK. ' Universidad de Navarra, Facultad de Ciencias Economicas, Edificio Biblioteca, Entrada Este, E-31080 Pamplona, Spain
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.
Keywords: fractional integration; long memory; mean reversion; US Treasury; constant maturity rates; USA; United States; model selection criterion; financial risk.
International Journal of Risk Assessment and Management, 2009 Vol.11 No.1/2, pp.59 - 66
Published online: 22 Dec 2008 *Full-text access for editors Access for subscribers Purchase this article Comment on this article