Nowman, K. Ben (2011) Estimation of one, two and three factor generalized vasicek term structure models for Japanese interest rates using monthly panel data. Applied Financial Economics, 21 (14). pp. 1069-1078. ISSN 0960-3107Full text not available from this repository.
In this article, we estimate one-, two- and three-factor generalized Vasicek interest rate models using Japanese yield curve panel data over the important period 2000 to 2010. The state space form of the model is presented and the Kalman filter applied. The empirical results provide support for the two and three factor models and simulations of the models over the period indicate that the two and three factor models performance tracks the Japanese yield curve.
|Subjects:||University of Westminster > Westminster Business School|
|Depositing User:||Miss Nina Watts|
|Date Deposited:||07 Feb 2011 14:11|
|Last Modified:||22 Aug 2011 10:11|
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