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:	2001
Authors:	Nath, Purnendu ; Nowman, K. Ben
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 8.2001, 2, p. 85-88
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005437705