A Note on Gaussian Estimation of the CKLS and CIR Models with Feedback Effects for Japan
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References listed on IDEAS
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- 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.
- Chan, K C, et al, 1992.
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- Tom Doan, "undated". "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
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- Nowman, K.B. & Yahia, B.B.H., 2008. "Euro and FIBOR interest rates: A continuous time modelling analysis," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1029-1035, December.
- repec:eee:finana:v:52:y:2017:i:c:p:119-129 is not listed on IDEAS
- 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.
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KeywordsCKLS; feedback effects; Gaussian estimation; interest rates;
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