Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models

In this paper we estimate the Generalized Vasicek term structure model using United Kingdom and Euro panel data. The model is presented in a state space form and the Kalman filter is used to estimate the unobserved state variables and the parameters of the model. One and two factor versions are estimated and the empirical results provide evidence that the two factor model provides a good description of the UK and Euro yield curves.

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Year of publication:	2010
Authors:	Nowman, Khalid Ben
Published in:	International Review of Financial Analysis. - Elsevier, ISSN 1057-5219. - Vol. 19.2010, 5, p. 334-341
Publisher:	Elsevier
Keywords:	Kalman filter Interest rates Factors State variables Panel data

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008863204