Fractional integration and the volatility of UK interest rates
Simeon Coleman and Kavita Sirichand
Authors registered in the RePEc Author Service: Kavita Sirichand () and
Simeon Coleman ()
NBS Discussion Papers in Economics from Economics, Nottingham Business School, Nottingham Trent University
Using fractional integration and GARCH modeling techniques, this paper investigates the dynamic properties of UK interest rates. We find evidence that, contrary to previous studies for the US and Canada, short rates are more nonstationary compared to longer rates. Further, differences in conditional volatility exist between rates of different maturities. We posit that the dynamics of interest rates 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)
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http://www.ntu.ac.uk/__data/assets/pdf_file/0008/3 ... K-interest-rates.pdf First version, 2011 (application/pdf)
Journal Article: Fractional integration and the volatility of UK interest rates (2012)
Working Paper: Fractional integration and the volatility of UK interest rates (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:nbs:wpaper:2011/02
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