Estimation of one, two and three factor generalized vasicek term structure models for Japanese interest rates using monthly panel data

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

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).

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

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

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

Forecasting daily UK interest rates using continuous time and ARIMA, ARFIMA models
Gough, O., Nowman, K.B. and Van Dellen, S. 2013. Forecasting daily UK interest rates using continuous time and ARIMA, ARFIMA models. Empirical Economics Letters. 12 (8), p. 813.

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

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

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).

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.

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

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

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

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

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

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.

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.

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.