Estimating the dynamics of interest rates in the Japanese economy

Nowman, K.B. and Ñíguez, T.M. (2007) Estimating the dynamics of interest rates in the Japanese economy. In: Fifteenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, Mar 2007, Paris, France..

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This paper analyses the performance of the Yu and Phillips (2001) estimation method for the case of the Japanese economy. This new parametric technique is based on the Dambis, Durbin-Schwarz theorem to extract an exact Gaussian discrete model of a continuous-time diffusion process for the interest rate. We use the new approach together with Nowman's (1997) method to estimate different specifications for a varied data set, including interbank and T-bill rates with different maturities and frequencies. Our results show that the Yu-Phillips procedure provides estimates in line with their Monte Carlo results in most of the cases.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Conditional volatility, continuous time diffusion, interest rates, Monte Carlo experiment, quasi-maximum likelihood;
Subjects: University of Westminster > Westminster Business School
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Date Deposited: 13 Jun 2008 15:29
Last Modified: 14 Sep 2017 13:26

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