Nowman, K. Ben and Saltoglu, Burak (2003) An empirical comparison of interest rates using an interest rate model and nonparametric methods. Applied Economics Letters, 10 (10). pp. 643-645. ISSN 1350-4851
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Official URL: http://dx.doi.org/10.1080/1350485032000133318
Abstract
A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman ( Journal of Finance , 52 , 1695-706, 1997; Asia Pacific Financial Markets , 8 , 23-34, 2001) and compare forecasts of interest rates with nonparametric methods on a range of currencies. Generally it is found that the continuous time model and local linear regression perform the best. The results give further evidence to the empirical results in Saltoglu.
| Item Type: | Article |
|---|---|
| Research Community: | University of Westminster > Westminster Business School |
| ID Code: | 741 |
| Deposited On: | 21 Sep 2005 |
| Last Modified: | 13 Oct 2009 16:16 |
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