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Investigating Long Memory in Yield Spreads

Joseph McCarthy, Coleen Pantalone and H.C Li
The Journal of Fixed Income Summer 2009, 19 (1) 73-81; DOI: https://doi.org/10.3905/JFI.2009.19.1.073
Joseph McCarthy
is a professor of finance at Bryant University in Smithfield, Rhode Island.
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  • For correspondence: mccarthy@bryant.edu
Coleen Pantalone
is an associate professor of finance at Northeastern University in Boston, Massachusetts.
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  • For correspondence: c.pantalone@neu.edu
H.C Li
is a professor of finance at Bryant University in Smithfield, Rhode Island.
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  • For correspondence: hli@bryant.edu
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Abstract

This article investigates the presence of long memory in bond yield spreads, looking at the spread between Moody’s Baa and Aaa corporate bond yields as well as the spread between each of these series and the 10-year Treasury bond yield. Using the aggregated series and wavelet OLS estimator methods, the authors test the hypothesis that yield spreads follow a fractionally integrated process. We find significant evidence of the presence of long memory in these spreads, which suggests that a time element exists and should be accounted for when analyzing yield spreads, making investment allocation decisions, or using yield spreads as forecasting tools.

TOPICS: Fixed-income portfolio management, big data/machine learning, analysis of individual factors/risk premia

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Investigating Long Memory in Yield Spreads
Joseph McCarthy, Coleen Pantalone, H.C Li
The Journal of Fixed Income Jun 2009, 19 (1) 73-81; DOI: 10.3905/JFI.2009.19.1.073

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Investigating Long Memory in Yield Spreads
Joseph McCarthy, Coleen Pantalone, H.C Li
The Journal of Fixed Income Jun 2009, 19 (1) 73-81; DOI: 10.3905/JFI.2009.19.1.073
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