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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

The volatility of Japenese interest rates evidence for certificate of deposit and Gensaki rates

Nowman, Kalid Ben - In: International review of financial analysis 11 (2002) 1, pp. 29-38

Persistent link: https://www.econbiz.de/10001745207

A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan

Nowman, Kalid Ben - In: Asia-Pacific financial markets 10 (2003) 2/3, pp. 275-279

Persistent link: https://www.econbiz.de/10002766432

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

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

An evaluation of contingent claims using the CKLS interest rate model : an analysis of Australia, Japan, and the United Kingdom

Nowman, Kalid Ben; Sorwar, Ghulam - In: Asia-Pacific financial markets 6 (1999) 3, pp. 205-219

Persistent link: https://www.econbiz.de/10001449329

Estimating the dynamics of interest rates in the Japanese economy

Nowman, Kalid Ben; Ñíguez, Trino-Manuel - In: The Asia Pacific journal of economics and business : APJEB 13 (2009) 1, pp. 3-13

Persistent link: https://www.econbiz.de/10003933215

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

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

Estimation of one-, two- and three-factor generalized Vasicek term structure models for Japanese interest rates using monthly panel data

Nowman, K. Ben - In: Applied Financial Economics 21 (2011) 14, pp. 1069-1078

In this article, we estimate one-, two- and three-factor generalized Vasicek interest rate models using Japanese yield curve panel data over the important period 2000 to 2010. The state space form of the model is presented and the Kalman filter applied. The empirical results provide support for...

Persistent link: https://www.econbiz.de/10009278641