Template-Type: ReDIF-Paper 1.0
Author-Name: Simeon Coleman and Kavita Sirichand 
Title: Fractional integration and the volatility of UK interest rates
Abstract: 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.
File-URL: http://www.ntu.ac.uk/__data/assets/pdf_file/0008/310220/Fractional-integration-and-the-volatility-of-UK-interest-rates.pdf
File-Format: Application/pdf
File-Function: First version, 2011
Creation-Date: 2011-05
Classification-JEL: C22, E43
Keywords: fractional integration, interest rates, conditional volatility
Handle: RePEc:nbs:wpaper:2011/02