Coleman, Simeon Sirichand, Kavita Fractional integration and the volatility of UK interest rates We find that short rates are more nonstationary than longer rates and that differences in conditional volatility exist between different maturities. Therefore, their dynamics may be both maturity specific and country specific, and any a priori generalizing assumptions may be misleading. Fractional integration;Interest rates;Conditional volatility;Economics;Economics not elsewhere classified 2014-06-05
    https://repository.lboro.ac.uk/articles/journal_contribution/Fractional_integration_and_the_volatility_of_UK_interest_rates/9493994