Theoretical and Applied Economics
No. 3 / 2017 (612), Autumn
Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA
R&D Center, C/S Information Technologies, Istanbul, Turkey
Abstract. This study investigates the long-memory and self-similarity characteristics of the long-term government bond yields in Turkey and the USA. The Geweke-Porter-Hudak (GPH) log-periodogram regression method has been utilized to measure the long-term persistency in the bond yield returns and volatilities for the period between 28.02.2010 and 28.04.2017. The empirical results show that while bond yield returns have random walk behaviors their volatility dynamics can be represented by a long-memory process. The paper also puts forward that bond yield returns have scale invariant distributional features and fitted with a Levy-stable distribution.
Keywords: long-memory, bond markets, self-similarity, Levy-stable distribution.
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Contents
- The European Union's strategy for increasing the living conditions of the population in the member states
Constantin ANGHELACHE
Mădălina Gabriela ANGHEL
- Does institutional environment
affect the economic development?
Evidence from selected CEE countries
Lejla TERZIĆ
- Causality between economic policy uncertainty and exchange
rate in China with considering quantile differences
Yin DAI
Jing-wen ZHANG
Xiu-zhen YU
Xin LI
- What impact has free trade area on economies of ASEAN-5 countries?
Abidin ÖNCEL
Raisal Fahrozi LUBİS
- Hard currency inflows and sterilization policy in Algeria:
An ARDL approach
Aissa DJEDAIET
Hicham AYAD
- Evaluating Indian economy’s vulnerability
to currency crisis
Mohana Rao BALAGA
Puja PADHI
- Does fiscal policy spur economic growth?
Empirical evidence from Algeria
Amal MATALLAH
Siham MATALLAH
