Estimates of the Continuous Time Cox-Ingersoll-Ross Term Structure Model : Further Results for the UK Gilt-Edged Market

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

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Year of publication:	2018
Authors:	Nath, Purnendu
Other Persons:	Nowman, K. Ben (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Großbritannien \| United Kingdom \| Theorie \| Theory \| Öffentliche Anleihe \| Public bond
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Applied Economics Letters, Vol. 8, No. 2, 2001 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 6, 2010 erstellt Volltext nicht verfügbar
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E47 - Forecasting and Simulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012912991