Evidence on the Extent and Potential Sources of Long Memory in U.S. Treasury Security Returns and Yields
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DOI: 10.1111/j.0022-2879.2007.00041.x
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- Robert A. Connolly & Z. Nuray G‹Ner & Kenneth N. Hightower, 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, Blackwell Publishing, vol. 39(2-3), pages 689-702, March.
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- Lanouar Charfeddine & Karim Ben Khediri & Goodness C. Aye & Rangan Gupta, 2017. "Time-Varying Efficiency of Developed and Emerging Bond Markets: Evidence from Long-Spans of Historical Data," Working Papers 201771, University of Pretoria, Department of Economics.
- Jan Willem van den End, 2011. "Statistical evidence on the mean reversion of interest rates," DNB Working Papers 284, Netherlands Central Bank, Research Department.
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