- Article

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.

Title | Euro and FIBOR interest rates: a continuous time modelling analysis |
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Authors | Nowman, K.B. and Yahia, B.B.H. |

Abstract | The introduction of the Euro in January 1999 and the new reference interest rate EURIBOR® which is widely used as the underlying interest rate for Euro denominated derivative contracts have opened up a new area of research in international financial markets. In this paper we estimate single factor models using daily EURIBOR® and FIBOR interest rate data. We also estimate a model allowing a level-GARCH specification and a two factor model. We find evidence of level–volatility effects in both rates. |

Journal | International Review of Financial Analysis |

Journal citation | 17 (5), pp. 1029-1035 |

ISSN | 1057-5219 |

Year | Dec 2008 |

Publisher | Elsevier |

Digital Object Identifier (DOI) | doi:10.1016/j.irfa.2008.06.001 |

Publication dates | |

Published | Dec 2008 |

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