Connolly, Robert A.; Güner, Nuray - Society for Computational Economics - SCE - 1999
bills drawn from the CRSP bond file. Our findings can be grouped into three categories. First, we show that one-week and one …-month gross holding-period returns on Treasury Bills display strong evidence of long memory, whereas Treasury Bond holding … empirical asset pricing studies. Second, short- and long-maturity bond yields strongly appear to be long-memory processes. Comte …