The Random Walks of Treasury Bill and Eurodollar Futures and the Mean-Reversion of TED-Spread
研究了1982年3月至1990年11月间国库券和欧洲美元期货价格及TED利差的时间序列特性，发现两者价格呈随机游走，而TED利差则显著均值回归。
This study examines time-series prope,rties of Treasury- Bill (TB) and Eurodollar (ED) future (daily) prices and TEDspread (the price difference between TB and ED future contracts) over the period March 1982 to November 1990. Employing a newly developed multiple variance-ratio test, we fail to reject the random walk hypothesis for both TB and ED future price series. However, the random walk hypothesis is strongly rejected in favor of a stationary mean-reversion process, for the TED-spread. This observed stationary property of TED-spread may be characterized by a co-integrating relationship between two random walk (non-stationary) price series of TB and ED.