Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models
AbstractIn this paper we estimate the Generalized Vasicek term structure model using United Kingdom and Euro panel data. The model is presented in a state space form and the Kalman filter is used to estimate the unobserved state variables and the parameters of the model. One and two factor versions are estimated and the empirical results provide evidence that the two factor model provides a good description of the UK and Euro yield curves.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 19 (2010)
Issue (Month): 5 (December)
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Web page: http://www.elsevier.com/locate/inca/620166
Kalman filter Interest rates Factors State variables Panel data;
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