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Fractional integration and the volatility of UK interest rates

  • Coleman, Simeon
  • Sirichand, Kavita

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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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 116 (2012)
Issue (Month): 3 ()
Pages: 381-384

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Handle: RePEc:eee:ecolet:v:116:y:2012:i:3:p:381-384
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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