The Cyclic Behavior Of U.S. Government Bonds Using Stochastic Time Series

Using 1966 to 1976 U.S. government bonds of three series, an autocorrelation function was determined for each series. Each bond series was described by a mixed autoregressive moving average. Findings suggest that cyclic U.S. Government securities price movements can be described by time series analy...

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Veröffentlicht in:	Business economics (Cleveland, Ohio) Ohio), 1980-09, Vol.15 (4), p.55-58
Hauptverfasser:	Thompson, A. Frank, Stiner, Frederic M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Analysis Arithmetic mean Bond portfolios Bonds Bonds (Securities) Finance Financial bonds Financial instruments Government bonds Government business enterprises Investments Optimal policy Pricing Public enterprises Public finance Selection Series convergence Stochastic models Time series Time series analysis
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Zusammenfassung:	Using 1966 to 1976 U.S. government bonds of three series, an autocorrelation function was determined for each series. Each bond series was described by a mixed autoregressive moving average. Findings suggest that cyclic U.S. Government securities price movements can be described by time series analysis. With a given predictive equation, a stochastic model is developed using control theory. This model produces an optimal policy for the decision to hold or sell in an existing bond portfolio.
ISSN:	0007-666X 1554-432X