Fractional integration and the volatility of UK interest rates
journal contributionposted on 05.06.2014 by Simeon Coleman, Kavita Sirichand
Any type of content formally published in an academic journal, usually following a peer-review process.
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.
- Business and Economics