Liew, Venus Khim-Sen and Qiao, Zhuo and Wong, Wing-Keung (2008): Linearity and stationarity of G7 government bond returns.
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This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (1988) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we had determined that they are stationary by the Kapetanios et al. (2003) nonlinear unit root test. In sum, it can be concluded that G7 government bond returns are stationary but possess a nonlinear feature. Our findings provide useful information for researchers interested in bond markets.
|Item Type:||MPRA Paper|
|Original Title:||Linearity and stationarity of G7 government bond returns|
|Keywords:||government bond returns; G7; linearity, stationarity; nonlinear|
|Subjects:||G - Financial Economics > G1 - General Financial Markets
N - Economic History > N2 - Financial Markets and Institutions
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General
|Depositing User:||Venus Khim-Sen Liew|
|Date Deposited:||08 Sep 2010 07:38|
|Last Modified:||30 Sep 2016 09:50|
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