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Euro and FIBOR interest rates: a continuous time modelling analysis

Nowman, K. Ben and Yahia, B.B.H. (2008) Euro and FIBOR interest rates: a continuous time modelling analysis. International Review of Financial Analysis, 17 (5). pp. 1029-1035. ISSN 1057-5219

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Official URL: http://dx.doi.org/10.1016/j.irfa.2008.06.001

Abstract

The introduction of the Euro in January 1999 and the new reference interest rate EURIBOR® which is widely used as the underlying interest rate for Euro denominated derivative contracts have opened up a new area of research in international financial markets. In this paper we estimate single factor models using daily EURIBOR® and FIBOR interest rate data. We also estimate a model allowing a level-GARCH specification and a two factor model. We find evidence of level–volatility effects in both rates.

Item Type:Article
Research Community:University of Westminster > Westminster Business School
ID Code:6007
Deposited On:18 Feb 2009 12:05
Last Modified:13 Oct 2009 16:07

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