Euro and FIBOR interest rates: a continuous time modelling analysis

Nowman, K.B. 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. https://doi.org/10.1016/j.irfa.2008.06.001

TitleEuro and FIBOR interest rates: a continuous time modelling analysis
AuthorsNowman, K.B. and Yahia, B.B.H.
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.

JournalInternational Review of Financial Analysis
Journal citation17 (5), pp. 1029-1035
ISSN1057-5219
YearDec 2008
PublisherElsevier
Digital Object Identifier (DOI)https://doi.org/10.1016/j.irfa.2008.06.001
Publication dates
PublishedDec 2008

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