We gratefully acknowledge helpful comments on earlier work made by seminar participants at the University of Toronto, the University of North Carolina–Chapel Hill, the January 2000 Econometric Society meetings, and the June 2001 meetings of the Society for Computational Economics at Yale University. This work has been supported by the Turkish Academy of Sciences, in the framework of the Young Scientist Award Program (EA-TÜBA-GEBÝP/2001-1-1). Comments and suggestions from Kit Baum, Basma Bekdache, Patrick Conway, Kris Jacobs, Mark Jensen, Bill Parke, Michael Salemi, the editor, Paul Evans, and two anonymous referees led to a much-improved paper. We are grateful to Aaron Smith for sharing his GAUSS code, to Gautam Kaul and Jennifer Conrad for making the original data set available to us, and to Paisan Limratanamongkol for updating the data.
Evidence on the Extent and Potential Sources of Long Memory in U.S. Treasury Security Returns and Yields
Article first published online: 18 APR 2007
Journal of Money, Credit and Banking
Volume 39, Issue 2-3, pages 689–702, March–April 2007
How to Cite
CONNOLLY, R. A., GÜNER, Z. N. and HIGHTOWER, K. N. (2007), Evidence on the Extent and Potential Sources of Long Memory in U.S. Treasury Security Returns and Yields. Journal of Money, Credit and Banking, 39: 689–702. doi: 10.1111/j.0022-2879.2007.00041.x
- Issue published online: 18 APR 2007
- Article first published online: 18 APR 2007
- Received November 26, 2002; and accepted in revised form October 24, 2005.
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