Fitting Correlations Within and Between Bond Markets

In this paper we estimate and test a multi-factor CIR model for three countries: the USA, Germany and the UK. We find that the estimated model reproduces not only the correlation within each of the bond markets considered but also those observed between markets, suggesting the existence of common factors.

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Year of publication:	2001-11
Authors:	Dewachter, Hans ; Maes, Konstantijn
Institutions:	Centrum voor Economische Studiën, Faculteit Economie en Bedrijfswetenschappen
Subject:	multi-factor CIR model \| Kalman filter \| common factors

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Extent:	application/pdf
Series:	International Economics Working Papers Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	34 pages
Classification:	G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005587994