Fractional integration and the volatility of UK interest rates
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.
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Main Authors: | Simeon Coleman, Kavita Sirichand |
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Format: | Default Article |
Published: |
2012
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Online Access: | https://hdl.handle.net/2134/14770 |
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