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 1350-4851Full text not available from this repository.
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.
|Subjects:||University of Westminster > Westminster Business School|
|Depositing User:||Users 4 not found.|
|Date Deposited:||21 Sep 2005|
|Last Modified:||13 Oct 2009 15:16|
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