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Fractional integration and the volatility of UK interest rates · Study

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ArticleFractional integration and the volatility of UK interest rates

Simeon Coleman2012

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Articlegreen2012

Fractional integration and the volatility of UK interest rates

Simeon Coleman · Kavita Sirichand

8 citations·0/0 files stored·Economics Letters

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 2003Testing for unit roots in heterogeneous panels 2002Unit root tests in panel data: asymptotic and finite-sample properties 1992Testing the null hypothesis of stationarity against the alternative of a unit root 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1981Fractional Differencing

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2016Fractional integration in daily stock market indices at Jordan's Amman stock exchange

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2010CLIOMETRICS AND TIME SERIES ECONOMETRICS: SOME THEORY AND APPLICATIONSarticle · 9 shared references 2003Modelling the U.S. interest rate in terms of I(d) statistical modelsarticle · 9 shared references 2011Inflationary shocks and common economic trends: Implications for West African monetary union membershiparticle · 8 shared references 2015Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approacharticle · 8 shared references 2009Fractional Integration and Cointegration: An Overview and an Empirical Applicationchapter · 7 shared references 2007Long memory and structural changes in the forward discount: An empirical investigationarticle · 7 shared references

Details

Year2012

Typearticle

Published2012-04-21

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations8

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/j.econlet.2012.04.015

openalex_workW2238345314

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