Browsing School of Technology by Author "Smith, L Vanessa"

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Testing for changing persistence in US treasury on/off spreads under weighted-symmetric estimation

Smith, L Vanessa; Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2010)

We extend the recursive break test procedure of Leybourn et al. by using weighted-symmetric estimation to detect a single change in time series persistence. An application to U.S. Treasury bond on/off spreads finds a ...