- Conference paper

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

Title | Estimating the dynamics of interest rates in the Japanese economy |
---|---|

Authors | Nowman, K.B. and Ñíguez, T.M. |

Type | Conference paper |

Abstract | This paper analyses the performance of the Yu and Phillips (2001) estimation method for the case of the Japanese economy. This new parametric technique is based on the Dambis, Durbin-Schwarz theorem to extract an exact Gaussian discrete model of a continuous-time diffusion process for the interest rate. We use the new approach together with Nowman's (1997) method to estimate different specifications for a varied data set, including interbank and T-bill rates with different maturities and frequencies. Our results show that the Yu-Phillips procedure provides estimates in line with their Monte Carlo results in most of the cases. |

Keywords | Conditional volatility, continuous time diffusion, interest rates, Monte Carlo experiment, quasi-maximum likelihood |

Year | 2007 |

Conference | Fifteenth Annual Symposium of the Society for Nonlinear Dynamics and Econometrics |

Publication dates | |

Completed | 2007 |

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The general moments expansion and its applications for financial risk

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Multivariate Gram-Charlier densities

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Continuous time dynamic modelling of interest rates in emerging markets

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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

Forecasting the density of asset returns

Ñíguez, T.M. and Perote, J. 2004. *Forecasting the density of asset returns.* London, UK London School of Economics and Political Science.

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

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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.

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.

Implied option prices from the continuous time CKLS interest rate model: an application to the UK

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Volatility and VaR forecasting for the IBEX-35 stock-return index using figarch-type processes and different evaluation criteria

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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.

The ECU term structure of interest rates

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Forecasting the conditional covariance matrices of a portfolio under long-run temporal dependence

Ñíguez, T.M. and Rubia, A. 2002. Forecasting the conditional covariance matrices of a portfolio under long-run temporal dependence. *Instituto Valenciano de Investigaciones Economicas.* Seville, Spain. Oct 2002

Volatility and VaR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria

Ñíguez, T.M. 2002. Volatility and VaR forecasting for the IBEX-35 stock-return index using FIGARCH-type processes and different evaluation criteria. *XXVII Symposium of the Economic Analysis.* Salamanca, Spain. Dec 2002

Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence

Ñíguez, T.M. 2002. Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence. *XXVII Symposium of the Economic Analysis.* Salamanca, Spain. Dec 2002

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.

Interest rate models in risk management: results for US treasury yields

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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.

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.

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.

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.

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