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Further evidence on the forecasting performance of two factor continuous time interest rate models in international and Asia-Pacific financial markets

Byers, S.L. and Nowman, K. Ben (2001) Further evidence on the forecasting performance of two factor continuous time interest rate models in international and Asia-Pacific financial markets. Managerial Finance, 27 (1/2). pp. 40-61. ISSN 0307-4358

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Abstract

Refers to previous research on the empirical testing of continuous time, two factor short rate interest models by Chan, Karolyi, Longstaff and Sanders (1992), Vasicek (1997) and Cox, Ingersoll and Ross (1985); and the Nowman (1997, 2000) Gaussian estimation approach. Applies these ideas to monthly interbank and Euro-currency data for a variety of periods and currencies to compare the explanatory/forecasting power of each model with the unrestricted model. Presents the results which show that volatility levels and forecasting performance vary for the models and markets tested.

Item Type:Article
Uncontrolled Keywords:Accounting research, Interest rates, Modelling, Predictive validity
Research Community:University of Westminster > Westminster Business School
ID Code:746
Deposited On:21 Sep 2005
Last Modified:13 Oct 2009 16:21

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