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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

Modelling and forecasting international interest rate spreads : UK, Germany, Japan and the USA

Gough, Orla; Nowman, Kalid Ben; Van Dellen, Stefan - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 309-333

Persistent link: https://www.econbiz.de/10010476910

Forecasting long term UK interest rates

Gough, O.; Nowman, Kalid Ben; Van Dellen, S. - In: The empirical economics letters : a monthly … 13 (2014) 10, pp. 1035-1043

Persistent link: https://www.econbiz.de/10010527324

Gaussian estimation of continuous time diffusions of UK interest rates

Nowman, K. Ben - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 8, pp. 1618-1624

This paper estimates stochastic differential equation models for the interest rate dynamics of the United Kingdom bond market using Gaussian estimation econometric methods and monthly data over the period 1970–2010 using a range of maturities. Gaussian estimates of single and two equation...

Persistent link: https://www.econbiz.de/10010869942