Fractional integration and the volatility of UK interest rates

DOI10.1016/j.econlet.2012.04.015zbMath1253.91182OpenAlexW2238345314MaRDI QIDQ694912

Kavita Sirichand, Simeon Coleman

Publication date: 19 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://dspace.lboro.ac.uk/2134/14770

zbMATH Keywords

interest ratesfractional integrationconditional volatility

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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