How sensitive is short-term Japanese interest rate volatility to the level of the interest rate?
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- Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, EconWPA.
- Nowman, Khalid Ben, 2010. "Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 334-341, December.
- Nowman, K. Ben, 2011. "Gaussian estimation of continuous time diffusions of UK interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(8), pages 1618-1624.
- Nowman, K. Ben, 2002. "The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 29-38.
- Vadim Khramov, 2013. "Estimating Parameters of Short-Term Real Interest Rate Models," IMF Working Papers 13/212, International Monetary Fund.
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