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

TitleGaussian estimation of continuous time diffusions of UK interest rates
AuthorsNowman, K.B.
Abstract

This paper estimates stochastic differential equation models for the interest rate dynamics of the United Kingdom bond market using Gaussian estimation econometric methods and monthly data over the period 1970–2010 using a range of maturities. Gaussian estimates of single and two equation models indicate that there is a relationship between the level of rates and the volatility of rates across the maturities. In addition, there is some evidence of feedback effects.

JournalMathematics and Computers in Simulation
Journal citation81 (8), pp. 1618-1624
ISSN0378-4754
YearApr 2011
PublisherElsevier
Digital Object Identifier (DOI)https://doi.org/10.1016/j.matcom.2010.12.001
Publication dates
PublishedApr 2011

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