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Fitting Correlations Within and Between Bond Markets

  • Hans Dewachter


    (K.U.Leuven and Erasmus University Rotterdam)

  • Konstantijn Maes


    (K.U.Leuven, C.E.S., International Economics)

In this paper we estimate and test a multi-factor CIR model for three countries: the USA, Germany and the UK. We find that the estimated model reproduces not only the correlation within each of the bond markets considered but also those observed between markets, suggesting the existence of common factors.

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Paper provided by Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics in its series International Economics Working Papers Series with number wpie004.

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Length: 34 pages
Date of creation: Nov 2001
Date of revision:
Handle: RePEc:kul:kulwps:wpie004
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