Fractional integration and the volatility of UK interest rates

DOI10.1016/J.ECONLET.2012.04.015MaRDI QIDQ694912zbMATH OpenOpenAlexFDO

Authors Simeon Coleman, Kavita Sirichand

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

fractional integrationinterest ratesconditional volatility

Mathematics Subject Classification ID

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

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• FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Are German money market rates well behaved?
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimating the fractional order of integration of interest rates using a wavelet OLS estimator
• Fractional differencing
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Log-periodogram regression of time series with long range dependence
• Long memory processes and fractional integration in econometrics
• Long memory story of the real interest rate
• On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for unit roots in heterogeneous panels.
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(5)

• Estimating the fractional order of integration of interest rates using a wavelet OLS estimator
• On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
• FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
• Spectral analysis as a tool for financial policy: an analysis of the short-end of the British term structure
• Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data

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