Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields

This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and monthly data provide evidence of non-linear structures and mean reversion (i.e., of transitory effects of shocks) under the assumption of autocorrelated errors

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Year of publication:	[2022]
Authors:	Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. ; Yaya, OlaOluwa S.
Publisher:	[S.l.] : SSRN
Subject:	USA \| United States \| Kapitaleinkommen \| Capital income \| Öffentliche Anleihe \| Public bond \| Staatspapier \| Government securities \| Anleihe \| Bond \| Zinsstruktur \| Yield curve \| Großbritannien \| United Kingdom \| Schätzung \| Estimation

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