Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA
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Selçuk Bayraci: R&D Center, C/S Information Technologies, Istanbul, Turkey
Theoretical and Applied Economics, 2017, vol. XXIV, issue 3(612), Autumn, 71-82
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. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:3(612):y:2017:i:3(612):p:71-82
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