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Estimating the dynamics of interest rates in the Japanese economy

Nowman, K. Ben and Níguez, Trino Manuel (2007) Estimating the dynamics of interest rates in the Japanese economy. In: Fifteenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, 15 16 Mar 2007, Paris, France. (Submitted)

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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
Research Community:University of Westminster > Westminster Business School
ID Code:5116
Deposited On:13 Jun 2008 16:29
Last Modified:01 Nov 2012 15:36

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