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

Full text not available from this repository.
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
Subjects: University of Westminster > Westminster Business School
Depositing User: Miss Nina Watts
Date Deposited: 18 Feb 2009 12:05
Last Modified: 13 Oct 2009 15:07
URI: http://westminsterresearch.wmin.ac.uk/id/eprint/6007

Actions (login required)

Edit Item (Repository staff only) Edit Item (Repository staff only)