In this paper we investigate the relationship between the volatility of Greek interbank rates and the level of rates by estimating the important CKLS interest rate model using the estimation method of (Nowman,1997). We also estimate the interest rate models of Merton, Vasicek, CIRSR, Dothan,...

We investigate the return and volatility spillovers from major UK banks to Financial Times Stock Exchange 100 (FTSE 100) index using Gaussian estimation and continuous time models as well as discrete time multivariate GARCH (MGARCH) modelling approaches. Using daily, weekly and monthly data over...