Mean reversion in the US treasury constant maturity rates
by Guglielmo Maria Caporale, Luis A. Gil-Alana
International Journal of Risk Assessment and Management (IJRAM), Vol. 11, No. 1/2, 2009

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.

Online publication date: Mon, 22-Dec-2008

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