Forecasting daily UK interest rates using continuous time and ARIMA, ARFIMA models

The value effects of changes in leverage
Bas, Tugba, Sivaprasad, Sheeja and Dellen, Stefan van 2022. The value effects of changes in leverage. Tourism Analysis. 27 (4), pp. 547-552. https://doi.org/10.3727/108354220x15961981728521

The Effect of Block Ownership on Future Firm Value and Performance
Benamraoui, A., Jory, S.R., Mazouz, K., Shah, N.S. and Gough, O. 2019. The Effect of Block Ownership on Future Firm Value and Performance. The North American Journal of Economics and Finance. 50, p. 100982 100982. https://doi.org/10.1016/j.najef.2019.04.025

The Effects of Mergers and Acquisitions on Acquiring Banks’ Contribution to Systemic Risk
van Dellen, S., Benamraoui, A., Ngo, H. and Salaber, Julie 2019. The Effects of Mergers and Acquisitions on Acquiring Banks’ Contribution to Systemic Risk. 27th Edition of International Rome Conference on Money, Banking & Finance. Rome, Italy 10 - 11 Dec 2018

The effects of mergers and acquisitions on acquiring banks' contribution to systemic risk
Van Dellen, S., Benamraoui, A., Ngo, H. and Salaber, Julie 2018. The effects of mergers and acquisitions on acquiring banks' contribution to systemic risk. 11th Edition of International Risk Management Conference (Risk Society). Paris, France 07 - 08 Jun 2018

The impact of conditional higher moments on risk management: The case of the tanker freight market
Van Dellen, S., Alizadeh, A.H. and Nomikos, N.K 2017. The impact of conditional higher moments on risk management: The case of the tanker freight market. 25th Annual Conference of the International Association of Maritime Economists. Kyoto, Japan 27 - 30 Jun 2017

The principle of legal certainty as a principle of economic efficiency
Portuese, A., Gough, O. and Tanega, J. 2017. The principle of legal certainty as a principle of economic efficiency. European Journal of Law and Economics. 44 (1), pp. 131-156. https://doi.org/10.1007/s10657-014-9435-2

US and Canadian term structures of interest rates: A forecasting comparison
Van Dellen, S., Juneja, J.A., Nowman, K.B. and Zhao, G. 2016. US and Canadian term structures of interest rates: A forecasting comparison. 23rd Annual Conference of the Multinational Finance Society. Stockholm, Sweden 26 - 29 Jun 2016

Do financial distress and liquidity crises affect value and size premiums?
Bas, T., Elgammal, M.M., Gough, O., Shah, N.S. and van Dellen, S. 2016. Do financial distress and liquidity crises affect value and size premiums? Applied Economics. 48 (39), pp. 3734-3751. https://doi.org/10.1080/00036846.2016.1145345

The value effects of changes in leverage: Evidence from the Travel and Leisure sector
Van Dellen, S., Sivaprasad, S. and Bas, T. 2015. The value effects of changes in leverage: Evidence from the Travel and Leisure sector. 22nd Annual Conference of the Multinational Finance Society. Halkidiki, Greece 28 Jun - 01 Jul 2015

A regime switching approach for hedging tanker shipping freight rates
van Dellen, S., Alizadeh, A.H. and Huang, C.-Y. 2015. A regime switching approach for hedging tanker shipping freight rates. Energy Economics. 49, pp. 44-59. https://doi.org/10.1016/j.eneco.2015.01.004

How does a firm's capital structure affect stock performance?
Sivaprasad, S., Adami, R., Gough, O. and Muradoglu, Y.G. 2015. How does a firm's capital structure affect stock performance? Frontiers in Finance and Economics. 12 (1), pp. 1-31.

Forecasting long-term UK interest rates
Gough, O., Nowman, K.B. and Van Dellen, S. 2014. Forecasting long-term UK interest rates. Empirical Economics Letters. 13 (10).

What drives the purchase decision in pensions and long-term investment products in the UK?
Gough, O. and Adami, R. 2014. What drives the purchase decision in pensions and long-term investment products in the UK? in: Harrison, T. and Estelami, H. (ed.) The Routledge Companion to Financial Services Marketing London Routledge. pp. 91-99

Modelling and forecasting international interest rate spreads: UK, Germany, Japan and the US
Gough, O., Nowman, K.B. and Van Dellen, S. 2014. Modelling and forecasting international interest rate spreads: UK, Germany, Japan and the US. International Journal of Financial Engineering and Risk Management. 1 (4), pp. 309-333. https://doi.org/10.1504/IJFERM.2014.065648

An empirical analysis of the performance of pension funds: evidence from UK
Sivaprasad, S., Adami, R., Gough, O. and Mukherjee, S. 2014. An empirical analysis of the performance of pension funds: evidence from UK. Studies in Economics and Finance. 31 (2), pp. 141-155. https://doi.org/10.1108/SEF-10-2012-0118

Do optimists plan for retirement? A behavioural explanation for non-participation in pension schemes
Balasuriya, J., Gough, O. and Vasileva, K. 2014. Do optimists plan for retirement? A behavioural explanation for non-participation in pension schemes. Economics Letters. 125 (3), pp. 396-399. https://doi.org/10.1016/j.econlet.2014.10.012

Corporate reporting implication in migrating from defined benefit to defined contribution pension schemes: A focus on the UK
Josiah, J., Gough, O., Haslam, J. and Shah, N.S. 2014. Corporate reporting implication in migrating from defined benefit to defined contribution pension schemes: A focus on the UK. Accounting Forum. 38 (1), pp. 18-37. https://doi.org/10.1016/j.accfor.2013.10.003

Permanent sovereignty over natural resources in the 21st century: natural resource governance and the right to self-determination of indigenous peoples under international law
Pereira, R. and Gough, O. 2013. Permanent sovereignty over natural resources in the 21st century: natural resource governance and the right to self-determination of indigenous peoples under international law. Melbourne Journal of International Law. 14 (2), pp. 451-495.

Empirical analysis of the US swap curve
Gough, O., Juneja, J.A., Nowman, K.B. and Van Dellen, S. 2013. Empirical analysis of the US swap curve. The Empirical Economics Letters. 12 (9), pp. 985-994.

Are there return and volatility spillovers from major bank stocks to the national stock market in the UK?
Dontis-Charitos, P., Gough, O., Nowman, K.B. and Sivaprasad, S. 2013. Are there return and volatility spillovers from major bank stocks to the national stock market in the UK? in: Jeon, B.N. and Olivero, M.P. (ed.) Global Banking, Financial Markets and Crises (International Finance Review, Vol. 14) Emerald Publishing Limited. pp. 243 - 268

Continuous and discrete time modelling of spillovers in equity and bond markets
Dontis-Charitos, P., Gough, O., Nowman, K.B. and Sivaprasad, S. 2013. Continuous and discrete time modelling of spillovers in equity and bond markets. International Journal of Bonds and Derivatives. 1 (1), pp. 54-87. https://doi.org/10.1504/IJBD.2013.056935

The effect of labour earnings on post retirement income
Adami, R., Gough, O. and Theophilopoulou, A. 2013. The effect of labour earnings on post retirement income. Journal of Economic Studies. 40 (3), pp. 284-297. https://doi.org/10.1108/01443581311283925

Saving for retirement: a review of ethnic minorities in the UK
Gough, O. and Adami, R. 2013. Saving for retirement: a review of ethnic minorities in the UK. Social Policy and Society. 12 (1), pp. 147-161. https://doi.org/10.1017/S1474746412000516

A multi-country analysis of the 2007–2009 financial crisis: empirical results from discrete and continuous time models
Dontis-Charitos, P., Jory, S.R., Ngo, T.N. and Nowman, K.B. 2013. A multi-country analysis of the 2007–2009 financial crisis: empirical results from discrete and continuous time models. Applied Financial Economics. 23 (11), pp. 929-950. https://doi.org/10.1080/09603107.2013.778944

Welfare systems and adequacy of pension benefits in Europe
Gough, O. and Adami, R. 2012. Welfare systems and adequacy of pension benefits in Europe. Social Policy and Society. 11 (1), pp. 41-53. https://doi.org/10.1017/S147474641100039X

Forecasting Overseas Visitors to the UK Using Continuous Time and Autoregressive Fractional Integrated Moving Average Models with Discrete Data
Nowman, K.B. and van Dellen, S. 2012. Forecasting Overseas Visitors to the UK Using Continuous Time and Autoregressive Fractional Integrated Moving Average Models with Discrete Data. Tourism Economics. 18 (4), pp. 835-844. https://doi.org/10.5367/te.2012.0144

Retirement saving choices: review of the literature and policy implications
Gough, O. and Niza, C. 2011. Retirement saving choices: review of the literature and policy implications. Journal of Population Ageing. 4 (1-2), pp. 97-117. https://doi.org/10.1007/s12062-011-9046-4

Gaussian estimation of continuous time diffusions of UK interest rates
Nowman, K.B. 2011. Gaussian estimation of continuous time diffusions of UK interest rates. Mathematics and Computers in Simulation. 81 (8), pp. 1618-1624. https://doi.org/10.1016/j.matcom.2010.12.001

Estimation of one, two and three factor generalized vasicek term structure models for Japanese interest rates using monthly panel data
Nowman, K.B. 2011. Estimation of one, two and three factor generalized vasicek term structure models for Japanese interest rates using monthly panel data. Applied Financial Economics. 21 (14), pp. 1069-1078. https://doi.org/10.1080/09603107.2011.562165

Corporate  rescue in the UK and the effect of the TUPE
Kastrinou, A., Shah, N.S. and Gough, O. 2011. Corporate  rescue in the UK and the effect of the TUPE. Company Lawyer. 32 (5), pp. 131-137.

The impact of the shifting pensions landscape on the psychological contract
Gough, O. and Arkani, S. 2011. The impact of the shifting pensions landscape on the psychological contract. Personnel Review. 40 (2), pp. 173-184. https://doi.org/10.1108/00483481111106066

Reconsidering disclosure and liability in the transatlantic capital markets
Brewer, M.K., Gough, O. and Shah, N.S. 2011. Reconsidering disclosure and liability in the transatlantic capital markets. DePaul business & commercial law journal. 9, pp. 257-292.

Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models
Nowman, K.B. 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. 19 (5), pp. 334-341. https://doi.org/10.1016/j.irfa.2010.08.008

The Level-Effect in the Fed Funds Rate: 1954-2010
Nowman, K.B. 2010. The Level-Effect in the Fed Funds Rate: 1954-2010. The Empirical Economics Letters. 9 (10).

Continuous time short rate models: evidence for the US
Nowman, K.B. and Shaw, T. 2010. Continuous time short rate models: evidence for the US. The Empirical Economics Letters. 9 (7).

Understanding what drives the purchase decision in pension and investment products
Gough, O. and Nurallah, M. 2009. Understanding what drives the purchase decision in pension and investment products. Journal of Financial Services Marketing. 14 (2), pp. 152-172. https://doi.org/10.1057/fsm.2009.14

Rex Bergstrom's contributions to continuous time macroeconometric modelling
Nowman, K.B. 2009. Rex Bergstrom's contributions to continuous time macroeconometric modelling. Econometric Theory. 25 (4), pp. 1087-1098. https://doi.org/10.1017/S0266466608090427

Estimating the Dynamics of Interest Rates in the Japanese Economy
Nowman, K.B. and Ñíguez, T.M. 2009. Estimating the Dynamics of Interest Rates in the Japanese Economy. Asia Pacific Journal of Economics and Business . 13 (1), pp. 18-30.

Ethnic minorities, retirement planning and personal accounts
Gough, O. and Hick, R. 2009. Ethnic minorities, retirement planning and personal accounts. International Journal of Sociology and Social Policy. 29 (9/10), pp. 488-497. https://doi.org/10.1108/01443330910986270

Employee evaluations of occupational pensions
Gough, O. and Hick, R. 2009. Employee evaluations of occupational pensions. Employee Relations. 31 (2), pp. 158-167. https://doi.org/10.1108/01425450910925300

Euro and FIBOR interest rates: a continuous time modelling analysis
Nowman, K.B. and Yahia, B.B.H. 2008. Euro and FIBOR interest rates: a continuous time modelling analysis. International Review of Financial Analysis. 17 (5), pp. 1029-1035. https://doi.org/10.1016/j.irfa.2008.06.001

The effects of age and income on retirement decisions: a comparative analysis between Italy and the UK
Gough, O., Adami, R. and Waters, J. 2008. The effects of age and income on retirement decisions: a comparative analysis between Italy and the UK. Pensions: an International Journal. 13 (3), pp. 167-175. https://doi.org/10.1057/pm.2008.12

An international study on the adequacy of retirement income
Gough, O. and Adami, R. 2008. An international study on the adequacy of retirement income. International Association for Research in Income and Wealth (IARIW) 30th General Conference. Portoroz, Slovenia 24 - 30 Aug 2008

Pension reforms and saving for retirement: comparing the United Kingdom and Italy
Adami, R. and Gough, O. 2008. Pension reforms and saving for retirement: comparing the United Kingdom and Italy. Policy Studies. 29 (2), pp. 119-135. https://doi.org/10.1080/01442870802033340

The impact of occupational pensions on retirement age
Arkani, S. and Gough, O. 2007. The impact of occupational pensions on retirement age. Journal of Social Policy. 36 (2), pp. 297-318. https://doi.org/10.1017/S0047279406000614

Age discrimination, the default retirement age and occupational pensions: experiences from Canada and predictions for Britain
Connolly, M. and Gough, O. 2007. Age discrimination, the default retirement age and occupational pensions: experiences from Canada and predictions for Britain. Web Journal of Current Legal Issues. 1 Web.

Estimating the dynamics of interest rates in the Japanese economy
Nowman, K.B. and Ñíguez, T.M. 2007. Estimating the dynamics of interest rates in the Japanese economy. Fifteenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics. Paris, France. Mar 2007

A continuous time econometric model of the United Kingdom with stochastic trends
Bergstrom, A.R. and Nowman, K.B. 2007. A continuous time econometric model of the United Kingdom with stochastic trends. Cambridge, UK Cambridge University Press.

Continuous time interest rate models in Japanese fixed income markets
Nowman, K.B. 2006. Continuous time interest rate models in Japanese fixed income markets. in: Batten, J., Fetherston, T.A. and Szilagyi, P.G. (ed.) Japanese fixed income markets: money, bond and interest rate derivatives Elsevier. pp. 321-346

Independent financial advisers: why they remain the strongest distribution route for pensions
Gough, O. 2005. Independent financial advisers: why they remain the strongest distribution route for pensions. Service Industries Journal. 25 (5), pp. 709-720. https://doi.org/10.1080/02642060500101120

Estimating the dynamics of interest rates in the Japanese economy
Ñíguez, T.M. and Nowman, K.B. 2005. Estimating the dynamics of interest rates in the Japanese economy. Westminster Business School Workshop in Memory of the Late Professor Albert Rex Bergstrom on Continuous Time Econometrics. London, UK. Dec 2005

Econometric modelling of the Euro using two factor continuous time dynamic interest rate models
Nowman, K.B. and Thapar, H. 2005. Econometric modelling of the Euro using two factor continuous time dynamic interest rate models. in: Motamen-Samadian, S. (ed.) Dynamic models and their applications in emerging markets Basingstoke, UK Palgrave Macmillan. pp. 69-76

Derivative prices from interest rate models: results for Canada, Hong Kong, and United States
Nowman, K.B. and Sorwar, G. 2005. Derivative prices from interest rate models: results for Canada, Hong Kong, and United States. International Review of Financial Analysis. 14 (4), pp. 428-438. https://doi.org/10.1016/j.irfa.2004.10.010

Continuous time dynamic modelling of interest rates in emerging markets
Nowman, K.B. and Shubber, K.J.A. 2005. Continuous time dynamic modelling of interest rates in emerging markets. in: Motamen-Samadian, S. (ed.) Dynamic models and their applications in emerging markets Basingstoke, UK Palgrave Macmillan.

Continuous time interest rate models in Japanese fixed income markets
Nowman, K.B. 2005. Continuous time interest rate models in Japanese fixed income markets. 4th International Conference of the Japan Economic Policy Association. Kobe, Japan 17-18 Dec 2005

Pensions and retirement savings: cluster analysis of consumer behaviour and attitudes
Gough, O. and Sozou, P.D. 2005. Pensions and retirement savings: cluster analysis of consumer behaviour and attitudes. International Journal of Bank Marketing. 23 (7), pp. 558-570. https://doi.org/10.1108/02652320510629917

Gaussian estimation of continuous time macroeconomic model of the United Kingdom with unobservable stochastic trends
Bergstrom, A.R. and Nowman, K.B. 2005. Gaussian estimation of continuous time macroeconomic model of the United Kingdom with unobservable stochastic trends. 3rd Nordic Econometric Meeting. Helsinki, Finland 26-28 May 2005

Why do employees, particularly women, reject occupational pension schemes?
Gough, O. 2004. Why do employees, particularly women, reject occupational pension schemes? Employee Relations. 26 (5), pp. 480-494. https://doi.org/10.1108/01425450410550464

Gaussian estimation of a continuous time macroeconomic model of the United Kingdom with unobservable stochastic trends
Nowman, K.B. and Bergstrom, A.R. 2004. Gaussian estimation of a continuous time macroeconomic model of the United Kingdom with unobservable stochastic trends. 3rd International Conference of the Japan Economic Policy Association. Tokyo, Japan 13-14 Nov 2004

Analysis of continuous time models of the euro interbank rate
Gough, O., Nowman, K.B. and Nurallah, M. 2004. Analysis of continuous time models of the euro interbank rate. Finance Letters. 2 (1), pp. 1-4.

A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan
Nowman, K.B. 2003. A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan. Asia-Pacific Financial Markets. 10 (2/3), pp. 275-279. https://doi.org/10.1007/s10690-005-6021-1

An empirical comparison of interest rates using an interest rate model and nonparametric methods
Nowman, K.B. and Saltoglu, B. 2003. An empirical comparison of interest rates using an interest rate model and nonparametric methods. Applied Economics Letters. 10 (10), pp. 643-645. https://doi.org/10.1080/1350485032000133318

Employee evaluations of company occupational pensions: HR implications
Hales, C. and Gough, O. 2003. Employee evaluations of company occupational pensions: HR implications. Personnel Review. 32 (3), pp. 319-340. https://doi.org/10.1108/00483480310467642

Implied option prices from the continuous time CKLS interest rate model: an application to the UK
Nowman, K.B. and Sorwar, G. 2003. Implied option prices from the continuous time CKLS interest rate model: an application to the UK. Applied Financial Economics. 13 (3), pp. 191-197. https://doi.org/10.1080/09603100110112041

Forecasting Japanese interest rates: an empirical analysis
Nowman, K.B. and Saltoglu, B. 2003. Forecasting Japanese interest rates: an empirical analysis. 2nd International Conference of the Japan Economic Policy Association. Nagoya, Japan 29-30 Nov 2003

Continuous time and nonparametric modelling of U.S. interest rate models
Nowman, K.B. and Saltoglu, B. 2003. Continuous time and nonparametric modelling of U.S. interest rate models. International Review of Financial Analysis. 12 (1), pp. 25-34. https://doi.org/10.1016/S1057-5219(02)00123-0

The ECU term structure of interest rates
Nowman, K.B. and Neves, J. 2003. The ECU term structure of interest rates. European Journal of Finance. 9 (2), pp. 194-197.

Factors that influence voluntary and involuntary retirement
Gough, O. 2003. Factors that influence voluntary and involuntary retirement. Pensions: an International Journal. 8 (3), pp. 252-264.

Forecasting Japanese interest rates: an empirical analysis
Nowman, K.B. and Saltoglu, B. 2002. Forecasting Japanese interest rates: an empirical analysis. 14th Annual APFA/PACAP/FMA Finance Conference. Tokyo, Japan 14-17 Jul 2002

The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates
Nowman, K.B. 2002. The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates. International Review of Financial Analysis. 11 (1), pp. 29-38. https://doi.org/10.1016/S1057-5219(01)00071-0

Interest rate models in risk management: results for US treasury yields
Nowman, K.B. 2002. Interest rate models in risk management: results for US treasury yields. in: Batten, J. and Fetherston, T.A. (ed.) Financial risk and financial risk management Amsterdam, Netherlands JAI Press.

Savings for retirement?: the different products individuals use
Gough, O. 2002. Savings for retirement?: the different products individuals use. International Journal of Applied Marketing. 1, pp. 54-68.

The impact of the gender pay gap on post-retirement earnings
Gough, O. 2001. The impact of the gender pay gap on post-retirement earnings. Critical Social Policy. 21 (3), pp. 311-334.

Modelling commodity prices using continuous time models
Nowman, K.B. and Wang, H. 2001. Modelling commodity prices using continuous time models. Applied Economics Letters. 8 (5), pp. 341-345. https://doi.org/10.1080/135048501750157602

Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
Nowman, K.B. 2001. Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom. Asia-Pacific Financial Markets. 8 (1), pp. 23-34. https://doi.org/10.1023/A:1011436907037

Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market
Nath, P. and Nowman, K.B. 2001. Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market. Applied Economics Letters. 8 (2), pp. 85-88. https://doi.org/10.1080/13504850150204110

An international comparison of pricing callable and puttable bonds in interbank financial markets
Nowman, K.B. and Sorwar, G. 2001. An international comparison of pricing callable and puttable bonds in interbank financial markets. Managerial Finance. 27 (1/2), pp. 99-110.

Further evidence on the forecasting performance of two factor continuous time interest rate models in international and Asia-Pacific financial markets
Byers, S.L. and Nowman, K.B. 2001. Further evidence on the forecasting performance of two factor continuous time interest rate models in international and Asia-Pacific financial markets. Managerial Finance. 27 (1/2), pp. 40-61.