Continuous time and nonparametric modelling of U.S. interest rate models
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- K. Ben Nowman & Burak Saltoglu, 2003. "An empirical comparison of interest rates using an interest rate model and nonparametric methods," Applied Economics Letters, Taylor & Francis Journals, vol. 10(10), pages 643-645.
- 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.
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- Christiansen, Charlotte, 2008.
"Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates,"
International Review of Financial Analysis,
Elsevier, vol. 17(5), pages 925-948, December.
- Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Charlotte Christiansen, 2007. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," CREATES Research Papers 2007-05, Department of Economics and Business Economics, Aarhus University.
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