Fractional cointegration in US term spreads
This note examines the stochastic properties of US term spreads with parametric and semiparametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The results...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Centre for International Capital Markets, London Metropolitan University
2010
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| Subjects: | |
| Online Access: | https://repository.londonmet.ac.uk/415/1/CentreForInternationalCapitalMarketsDiscussionPapers_2010-05_p01-09.pdf |