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An empirical comparison of interest rates using an interest rate model and nonparametric methods

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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