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Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market

Nath, Purnendu and Nowman, K. Ben (2001) Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market. Applied Economics Letters, 8 (2). pp. 85-88. ISSN 1350-4851

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Official URL: http://dx.doi.org/10.1080/13504850150204110

Abstract

Estimates are made of multi-factor versions of the Cox-Ingersoll-Ross model of the term structure of interest rates using the Kalman filter. Estimates are obtained using weekly UK Gilt-edged market data over the period 1982-1997. Empirical results support the need for a multi-factor model and support recent findings of Babbs and Nowman for this market.

Item Type:Article
Additional Information:Online ISSN 1466-4291
Research Community:University of Westminster > Westminster Business School
ID Code:747
Deposited On:21 Sep 2005
Last Modified:13 Oct 2009 16:20

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