Fractional integration and the volatility of UK interest rates

DOI10.1016/J.ECONLET.2012.04.015zbMATH Open1253.91182OpenAlexW2238345314MaRDI QIDQ694912FDOQ694912

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

Recommendations

• FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES
• Estimating the fractional order of integration of interest rates using a wavelet OLS estimator
• A simple long-memory equilibrium interest rate model
• On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
• Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data

zbMATH Keywords

fractional integrationinterest ratesconditional volatility

Mathematics Subject Classification ID

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

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Log-periodogram regression of time series with long range dependence
• Long memory processes and fractional integration in econometrics
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• 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?
• 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
• Are German money market rates well behaved?
• Estimating the fractional order of integration of interest rates using a wavelet OLS estimator

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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