Evidence on the Extent and Potential Sources of Long Memory in U.S. Treasury Security Returns and Yields
发现美国国债总回报与超额持有期回报的长记忆性程度差异显著，并检验了结构突变是否导致长记忆性，结果表明即使考虑结构变化，收益率和期限溢价序列的长记忆性依然显著。
Unlike equity returns, many fixed‐income return measures appear to display long memory. We show that the extent of long memory differs strongly for gross and excess holding period returns on U.S. Treasury securities. Granger and others have argued that long memory may only reflect infrequent structural breaks. We explore the impact of structural instability on tests for long memory and find only weak indications that it lies behind the long memory in our return series. The evidence of long memory remains strong for yield and term premia series even after accounting for a series of potential underlying structural changes.