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Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models

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  • Nowman, Khalid Ben

Abstract

In 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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  • 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.
    • Handle: RePEc:eee:finana:v:19:y:2010:i:5:p:334-341
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    3. Robert Faff & Sirimon Treepongkaruna, 2013. "A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 333-352, August.

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