Testing for changing persistence in US Treasury on/off spreads under weighted-symmetric estimation
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- Mardi Dungey & Charles Goodhart & Demosthenes Tambakis, 2008.
"The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 40-52.
- Mardi Dungey & Charles Goodhart & Demosthenes Tambakis, 2005. "The Us Treasury Market In August 1998: Untangling The Effects Og Hong Kong And Russia With High Frequency Data," CAMA Working Papers 2005-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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Keywordspersistence; unit root test; break point; Monte Carlo simulation; US Treasury bonds; liquidity;
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