Connolly, Robert A.; Nuray G½ner; Hightower, Kenneth N. - Society for Computational Economics - SCE - 2001
Unlike equity returns, many fixed-income return and volatility measures appear to display considerable long memory. Connolly and G½ner (working paper, 1999) show this holds particularly strongly for shorter-maturity Treasury securities in the U.S. They show that fixed-income return and...