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...
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| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2017-09-01
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| Series: | Theoretical and Applied Economics |
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| Online Access: |
http://store.ectap.ro/articole/1295.pdf
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| Summary: | 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 for the period between 28.02.2010 and 28.04.2017. The
empirical results show that while bond yield returns have random walk behaviors their volatility
dynamics can be represented by a long-memory process. The paper also puts forward that bond
yield returns have scale invariant distributional features and fitted with a Levy-stable distribution. |
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| ISSN: | 1841-8678 1844-0029 |