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 1350-4851Full text not available from this repository.
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.
|Additional Information:||Online ISSN 1466-4291|
|Subjects:||University of Westminster > Westminster Business School|
|Depositing User:||Users 4 not found.|
|Date Deposited:||21 Sep 2005|
|Last Modified:||13 Oct 2009 15:20|
Actions (login required)
|Edit Item (Repository staff only)|