Fractional integration and the volatility of UK interest rates

Simeon Coleman () and Kavita Sirichand ()

Economics Letters, 2012, vol. 116, issue 3, 381-384

Abstract: 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.

Keywords: Fractional integration; Interest rates; Conditional volatility (search for similar items in EconPapers)
JEL-codes: C22 E43 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Fractional integration and the volatility of UK interest rates (2011)
Working Paper: Fractional integration and the volatility of UK interest rates (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:381-384

DOI: 10.1016/j.econlet.2012.04.015

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