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