Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA
This study investigates the long-memory and self-similarity characteristics of the long-term government bond yields in Turkey and the USA. The Geweke-Porter-Hudak (GPH) log-periodogram regression method has been utilized to measure the long-term persistency in the bond yield returns and volatilities...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2017-09-01
|
| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/1295.pdf
|