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Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models

Nowman, K. Ben (2010) Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models. International Review of Financial Analysis, 19 (5). pp. 334-341. ISSN 1057-5219

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Official URL: http://dx.doi.org/10.1016/j.irfa.2010.08.008

Abstract

In this paper we estimate the Generalized Vasicek term structure model using United Kingdom and Euro panel data. The model is presented in a state space form and the Kalman filter is used to estimate the unobserved state variables and the parameters of the model. One and two factor versions are estimated and the empirical results provide evidence that the two factor model provides a good description of the UK and Euro yield curves.

Item Type:Article
Research Community:University of Westminster > Westminster Business School
ID Code:8947
Deposited On:30 Nov 2010 10:12
Last Modified:30 Nov 2010 10:12

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