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Continuous-time short term interest rate models

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  • K. Ben Nowman
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    Abstract

    A number of continuous time models of the short-term interest rate are estimated using recently developed Gaussian estimation methods on four currencies interest rates. Results indicate that for the US and Japanese currencies currently used models perform well in capturing the adjustment of the interest rate process. It is also found that for the French and Italian currencies the dependence of volatility on the level of the interest rate is significantly higher than is usually assumed by well-known models.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/096031098332934
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 8 (1998)
    Issue (Month): 4 ()
    Pages: 401-407

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    Handle: RePEc:taf:apfiec:v:8:y:1998:i:4:p:401-407

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    Web page: http://www.tandfonline.com/RAFE20

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    Cited by:
    1. Sirimon Treepongkaruna, 2003. "Quasi-maximum likelihood estimates of Kiwi short-term interest rate," Applied Economics Letters, Taylor & Francis Journals, vol. 10(15), pages 937-942.
    2. José Luis Fernández-Serrano & M. Dolores Robles Fernández, 2004. "Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español," Investigaciones Economicas, Fundación SEPI, vol. 28(2), pages 349-376, May.
    3. Ram Bhar & Carl Chiarella & Hing Hung & Wolfgang Runggaldier, 2004. "The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach," Finance 0409002, EconWPA.
    4. Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, EconWPA.
    5. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm," Research Paper Series 68, Quantitative Finance Research Centre, University of Technology, Sydney.

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