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The ECU term structure of interest rates

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  • Joao Neves
  • K. Ben Nowman

Abstract

This paper provides one of the few applications to the ECU curve of a Gaussian multifactor model of the term structure of interest rates. We estimate one, two and three factor Generalized Vaslcek models using panel data accounting for both the cross-sectional and dynamic implications of the yield curve to be taken into account. Our empirical results indicate that the model provides a good description of the ECU yield curve.

Suggested Citation

  • Joao Neves & K. Ben Nowman, 2003. "The ECU term structure of interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 9(2), pages 194-197.
    • Handle: RePEc:taf:eurjfi:v:9:y:2003:i:2:p:194-197
    DOI: 10.1080/13518470110072046
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