An empirical comparison of interest rates using an interest rate model and nonparametric methods
A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman (Journal of Finance, 52, 1695-706, 1997; Asia Pacific Financial Markets, 8, 23-34, 2001) and compare forecasts of interest rates with nonparametric methods on a range of currencies. Generally it is found that the continuous time model and local linear regression perform the best. The results give further evidence to the empirical results in Saltoglu (Applied Financial Economics, 13, 169-176, 2003).
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Volume (Year): 10 (2003)
Issue (Month): 10 ()
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References listed on IDEAS
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- Burak Saltoglu, 2003. "Comparing forecasting ability of parametric and non-parametric methods: an application with Canadian monthly interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 169-176.
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- Episcopos, Athanasios, 2000. "Further evidence on alternative continuous time models of the short-term interest rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 199-212, June.
- Nowman, K B, 1997. " Gaussian Estimation of Single-Factor Continuous Time Models of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 52(4), pages 1695-1706, September.
- Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
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