Econ letters.pdf (417.5 kB)
0/0

Fractional integration and the volatility of UK interest rates

Download (417.5 kB)
journal contribution
posted on 05.06.2014 by Simeon Coleman, Kavita Sirichand
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.

History

School

  • Business and Economics

Department

  • Economics

Citation

COLEMAN, S. and SIRICHAND, K., 2012. Fractional integration and the volatility of UK interest rates. Economic Letters, 116 (3), pp. 381 - 384.

Publisher

© Elsevier

Version

AM (Accepted Manuscript)

Publication date

2012

Notes

This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 2012, 116 (3), pp. 381-384, DOI 10.1016/j.econlet.2012.04.015

ISSN

0165-1765

Language

en

Exports

Logo branding

Exports