Inderscience Publishers

Mean reversion in the US treasury constant maturity rates

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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

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