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Estimation of one, two and three factor generalized vasicek term structure models for Japanese interest rates using monthly panel data

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 0960-3107

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Official URL: http://dx.doi.org/10.1080/09603107.2011.562165

Abstract

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.

Item Type:Article
Research Community:University of Westminster > Westminster Business School
ID Code:9103
Deposited On:07 Feb 2011 14:11
Last Modified:22 Aug 2011 11:11

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