Euro and FIBOR interest rates: A continuous time modelling analysis
AbstractThe introduction of the Euro in January 1999 and the new reference interest rate EURIBOR® which is widely used as the underlying interest rate for Euro denominated derivative contracts have opened up a new area of research in international financial markets. In this paper we estimate single factor models using daily EURIBOR® and FIBOR interest rate data. We also estimate a model allowing a level-GARCH specification and a two factor model. We find evidence of level-volatility effects in both rates.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 17 (2008)
Issue (Month): 5 (December)
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Web page: http://www.elsevier.com/locate/inca/620166
G15 E43 CKLS Interest rate Euro Level;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- CKL - Mathematical and Quantitative Methods - - - - -
- Int - Health, Education, and Welfare - - - - -
- rat - - - - - -
- Eur - Macroeconomics and Monetary Economics - - - - -
- Lev - Industrial Organization - - - - -
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