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~person:"Coleman, Simeon"
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Conditional volatility
2
Fractional integration
2
Interest rates
2
conditional volatility
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fractional integration
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interest rates
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Coleman, Simeon
McAleer, Michael
74
Chang, Chia-Lin
40
Haas, Markus
10
Mittnik, Stefan
9
Hsu, Hui-Kuang
8
Hammoudeh, Shawkat
6
Chuffart, Thomas
5
Harris, Richard D. F.
5
Ling, Shiqing
5
Paolella, Marc S.
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Papadamou, Stephanos
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Stagiannis, Apostolos
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Tansuchat, Roengchai
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Tong, Howell
5
Allen, David E.
4
Asai, Manabu
4
Chen, Meng-Gu
4
Hoti, Suhejla
4
Huang, Biing-Wen
4
Kumar, Rakesh
4
Lim, Christine
4
Malik, Farooq
4
McAleer, M.J.
4
Murphy, David
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Nonejad, Nima
4
Signori, Ombretta
4
Singh, Abhay K.
4
Baluga, Anthony
3
Baumöhl, Eduard
3
Chan, Felix
3
Chang, C-L.
3
Chebbi, Tarek
3
Cremers, Heinz
3
Degiannakis, Stavros
3
Dhankar, Raj S.
3
Dime, Roselle
3
Filis, George
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Kollias, Christos
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Krasnosselski, Nikolai
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Department of Economics, Leicester University
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Fractional integration and the volatility of UK interest rates
Coleman, Simeon
;
Sirichand, Kavita
-
Department of Economics, Leicester University
-
2011
compared to longer rates. Further, differences in
conditional
volatility
exist between rates of different maturities. We posit …
Persistent link: https://www.econbiz.de/10009019008
Saved in:
2
Fractional integration and the volatility of UK interest rates
Coleman, Simeon
;
Sirichand, Kavita
-
Nottingham Trent University, Nottingham Business …
-
2011
compared to longer rates. Further, differences in
conditional
volatility
exist between rates of different maturities. We posit …
Persistent link: https://www.econbiz.de/10010726391
Saved in:
3
Fractional integration and the volatility of UK interest rates
Coleman, Simeon
;
Sirichand, Kavita
- In:
Economics Letters
116
(
2012
)
3
,
pp. 381-384
We find that short rates are more nonstationary than longer rates and that differences in
conditional
volatility
exist …
Persistent link: https://www.econbiz.de/10010594183
Saved in:
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