This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...

This paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree...

This paper makes a twofold contribution, First, it develops the dynamic factor model of Barigozzi et al. (2016) by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable...