Fractional integration and the volatility of UK interest rates

Coleman, Simeon; Sirichand, Kavita

Fractional integration and the volatility of UK interest rates

journal contribution

posted on 2014-06-05, 14:53 authored by Simeon Coleman, Kavita SirichandKavita 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

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