Persistence in US Treasury bonds

Emmanuel Joel Aikins Abakah, Luis A. Gil-Alana

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

This paper investigates the persistence in the US Treasury bond rate returns from 1946 to 2019 by using fractional integration. It is shown that the degree of integration of the series (and thus the level of persistence) reduces as we increase the time of the maturity rate from the 1- and 2-year rates to the 20- and 30-year bond rates.

Original languageEnglish
Article number102189
JournalFinance Research Letters
Volume45
DOIs
Publication statusPublished - Mar 2022
Externally publishedYes

Keywords

  • Fractional integration
  • Persistence
  • US Treasury bonds

Fingerprint

Dive into the research topics of 'Persistence in US Treasury bonds'. Together they form a unique fingerprint.

Cite this