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Title: Fractional integration and the volatility of UK interest rates
Authors: Coleman, Simeon
Sirichand, Kavita
Keywords: Fractional integration
Interest rates
Conditional volatility
Issue Date: 2012
Publisher: © Elsevier
Citation: COLEMAN, S. and SIRICHAND, K., 2012. Fractional integration and the volatility of UK interest rates. Economic Letters, 116 (3), pp. 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.
Description: 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
Version: Accepted for publication
DOI: 10.1016/j.econlet.2012.04.015
URI: https://dspace.lboro.ac.uk/2134/14770
Publisher Link: http://dx.doi.org/10.1016/j.econlet.2012.04.015
ISSN: 0165-1765
Appears in Collections:Published Articles (Economics)

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