Linearity and stationarity of G7 government bond returns
This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (198 8) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we had determined that they are s...
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| Format: | Article |
| Language: | English |
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Economics Bulletin
2010
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| Online Access: | http://ir.unimas.my/id/eprint/18000/ http://ir.unimas.my/id/eprint/18000/1/Linearity%20and%20stationarity.pdf |
| _version_ | 1848838413630832640 |
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| author | Liew, Venus Khim-Sen Qiao, Zhuo Wong, Wing-Keung |
| author_facet | Liew, Venus Khim-Sen Qiao, Zhuo Wong, Wing-Keung |
| author_sort | Liew, Venus Khim-Sen |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (198
8) 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 |
| first_indexed | 2025-11-15T06:55:10Z |
| format | Article |
| id | unimas-18000 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:55:10Z |
| publishDate | 2010 |
| publisher | Economics Bulletin |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-180002022-03-18T08:38:48Z http://ir.unimas.my/id/eprint/18000/ Linearity and stationarity of G7 government bond returns Liew, Venus Khim-Sen Qiao, Zhuo Wong, Wing-Keung H Social Sciences (General) This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (198 8) 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 Economics Bulletin 2010 Article PeerReviewed text en http://ir.unimas.my/id/eprint/18000/1/Linearity%20and%20stationarity.pdf Liew, Venus Khim-Sen and Qiao, Zhuo and Wong, Wing-Keung (2010) Linearity and stationarity of G7 government bond returns. Economics Bulletin, 4 (1). ISSN 1545-2921 https://www.researchgate.net/publication/228219603 DOI: 10.2139/ssrn.1673743 |
| spellingShingle | H Social Sciences (General) Liew, Venus Khim-Sen Qiao, Zhuo Wong, Wing-Keung Linearity and stationarity of G7 government bond returns |
| title | Linearity and stationarity of G7 government bond returns |
| title_full | Linearity and stationarity of G7 government bond returns |
| title_fullStr | Linearity and stationarity of G7 government bond returns |
| title_full_unstemmed | Linearity and stationarity of G7 government bond returns |
| title_short | Linearity and stationarity of G7 government bond returns |
| title_sort | linearity and stationarity of g7 government bond returns |
| topic | H Social Sciences (General) |
| url | http://ir.unimas.my/id/eprint/18000/ http://ir.unimas.my/id/eprint/18000/ http://ir.unimas.my/id/eprint/18000/ http://ir.unimas.my/id/eprint/18000/1/Linearity%20and%20stationarity.pdf |