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Euro and FIBOR interest rates: A continuous time modelling analysis

  • Nowman, K.B.
  • Yahia, B.B.H.
Registered author(s):

    The 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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    File URL: http://www.sciencedirect.com/science/article/B6W4W-4SWFNWW-1/2/0e2e1be35c773b4546af96207db4f155
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    Article provided by Elsevier in its journal International Review of Financial Analysis.

    Volume (Year): 17 (2008)
    Issue (Month): 5 (December)
    Pages: 1029-1035

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    Handle: RePEc:eee:finana:v:17:y:2008:i:5:p:1029-1035
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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