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dc.contributor.authorSmith, LV
dc.contributor.authorTambakis, DN
dc.date.accessioned2010-05-28T11:56:22Z
dc.date.available2010-05-28T11:56:22Z
dc.date.issued2008-01
dc.identifier.citationJEL classifications: C15, C22
dc.identifier.issn1351-847X
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/225205
dc.description.abstractWe extend the recursive break test procedure of Leybourn et al. by using weighted-symmetric estimation to detect a single change in time series persistence. An application to U.S. Treasury bond on/off spreads finds a significant change in persistence from I(0) to I(1) in the late 1990s.
dc.language.isoen
dc.publisherInforma UK Limited
dc.relation.ispartofseriesCFAP Working Paper
dc.relation.ispartofseries11
dc.rightsAll Rights Reserved
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/
dc.subjectpersistence
dc.subjectunit root test
dc.subjectbreakpoint
dc.subjectMonte Carlo simulation
dc.titleTesting for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation
dc.typeWorking Paper
dc.type.versionpublished version
prism.publicationNameEUR J FINANC
rioxxterms.versionofrecord10.1080/13518470601025276
dc.identifier.eissn1466-4364


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