Nowman, K. Ben (2011) Gaussian estimation of continuous time diffusions of UK interest rates. Mathematics and Computers in Simulation, 81 (8). pp. 1618-1624. ISSN 0378-4754Full text not available from this repository.
This paper estimates stochastic differential equation models for the interest rate dynamics of the United Kingdom bond market using Gaussian estimation econometric methods and monthly data over the period 1970–2010 using a range of maturities. Gaussian estimates of single and two equation models indicate that there is a relationship between the level of rates and the volatility of rates across the maturities. In addition, there is some evidence of feedback effects.
|Subjects:||University of Westminster > Westminster Business School|
|Depositing User:||Miss Nina Watts|
|Date Deposited:||20 Jan 2011 11:32|
|Last Modified:||15 Mar 2011 09:42|
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