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Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
Nowman, Kalid Ben - In: Asia-Pacific financial markets 8 (2001) 1, pp. 23-34
Persistent link: https://www.econbiz.de/10001601028
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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, Kalid Ben - In: Applied financial economics 21 (2011) 13/15, pp. 1069-1078
Persistent link: https://www.econbiz.de/10009317436
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Advanced continuous time dynamic modelling of the Japanese yield curve
Nowman, Kalid Ben - In: Interest rates : term structure models, monetary …, (pp. 3-17). 2012
Persistent link: https://www.econbiz.de/10009658370
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Kalman filtering of Generalized Vasicek term structure models
Babbs, Simon H.; Nowman, Kalid Ben - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 1, pp. 115-130
Persistent link: https://www.econbiz.de/10001436345
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An application of generalized Vasicek term structure models to the UK gilt-edged market : a Kalman filtering analysis
Babbs, Simon H. - In: Applied financial economics 8 (1998) 6, pp. 637-644
Persistent link: https://www.econbiz.de/10001253268
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An empirical comparison of interest rates using an interest rate model and nonparametric methods
Nowman, Kalid Ben; Saltoglu, Burak - In: Applied economics letters 10 (2003) 10, pp. 643-645
Persistent link: https://www.econbiz.de/10001801948
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Implied option prices from the continuous time CKLS interest rate model : an application to the UK
Nowman, Kalid Ben; Sorwar, Ghulam - In: Applied financial economics 13 (2003) 3, pp. 191-198
Persistent link: https://www.econbiz.de/10001742866
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Forecasting daily UK interest rates using continuous time and ARIMA, ARFIMA models
Gough, O.; Nowman, Kalid Ben; Van Dellen, S. - In: The empirical economics letters : a monthly … 12 (2013) 8, pp. 813-824
Persistent link: https://www.econbiz.de/10010363113
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Continuous-time short term interest rate models
Nowman, K. Ben - In: Applied financial economics 8 (1998) 4, pp. 401-407
Persistent link: https://www.econbiz.de/10001363514
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Forecasting UK and US interest rates using continuous time term structure models
Byers, S. L.; Nowman, K. B. - In: International review of financial analysis 7 (1998) 3, pp. 191-206
Persistent link: https://www.econbiz.de/10001356589