- 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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A multi-country analysis of the 2007–2009 financial crisis: empirical results from discrete and continuous time models

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Empirical analysis of the US swap curve

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Are there return and volatility spillovers from major bank stocks to the national stock market in the UK?

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Continuous and discrete time modelling of spillovers in equity and bond markets

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Linking social media, intelligent agents and expert systems for formulating open innovation strategies for software development

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A New Proposal for Computing Portfolio Value-at-Risk for Semi-nonparametric Distributions

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The Level-Effect in the Fed Funds Rate: 1954-2010

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Continuous time short rate models: evidence for the US

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Forecasting the unconditional and conditional kurtosis of the asset returns distribution

Ñíguez, T.M., Perote, J. and Rubia, A. 2010. Forecasting the unconditional and conditional kurtosis of the asset returns distribution. *30th International Symposium on Forecasting.* San Diego, USA. June 2010

The SNP-DCC model: a new methodology for risk management and forecasting

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The SNP-DCC model: a new methodology for risk management and forecasting

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Rex Bergstrom's contributions to continuous time macroeconometric modelling

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Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution

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Are the High-Order Moments of the Assets Returns Distribution Forecastable?

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Gram-Charlier Densities: A Multivariate Approach

Del Brío E, B., Ñíguez, T.M. and Perote, J. 2009. Gram-Charlier Densities: A Multivariate Approach. *Quantitative Finance.* 9 (7), pp. 855-868.

Multivariate semi-nonparametric densities with dynamic conditional correlations

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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.

Volatility and VaR Forecasting in the Madrid Stock Exchange

Ñíguez, T.M. 2008. Volatility and VaR Forecasting in the Madrid Stock Exchange. *Spanish Economic Review.* 10 (3), pp. 169-196.

The general moments expansion and its applications for financial risk

Ñíguez, T.M. and Perote, J. 2008. The general moments expansion and its applications for financial risk. *2nd International Workshop on Computational and Financial Econometrics.* Neuchâtel, Switzerland. June 2008

Predicting the monthly volatility of the EuroStoxx 50 Index using data sampled at different frequencies. Macroeconomic forecast and analysis laboratory discussion paper

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Multivariate Gram-Charlier densities

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Semi-parametric density expansions: orthogonality vs simplicity

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Multivariate Gram-Charlier densities

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2007. Multivariate Gram-Charlier densities. *1st International Workshop on Computational and Financial Econometrics.* Geneva, Switzerland. Apr 2007

Multivariate Gram-Charlier densities

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2007. Multivariate Gram-Charlier densities. *Annual Meeting of the Journal of Financial Econometrics.* Faro, Portugal. Oct 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.

Forecasting the Conditional Covariance Matrix of a Portfolio under Long-run Temporal Dependence

Ñíguez, T.M. and Rubia, A. 2006. Forecasting the Conditional Covariance Matrix of a Portfolio under Long-run Temporal Dependence. *Journal of Forecasting.* 25 (6), pp. 439-458.

Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion

Perote, J. and Ñíguez, T.M. 2006. Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion. *XXVI International Symposium of Forecasting.* Santander, Spain. Jun 2006

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

Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion

Perote, J. and Ñíguez, T.M. 2005. Forecasting heavy-tailed densities with positive Edgeworth-Sargan and Gram-Charlier expansion. *XIII Forum of Finance.* Madrid, Spain. Nov 2005

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Ñíguez, T.M. and Perote, J. 2005. Forecasting the density of asset returns. *Journal of Applied Econometrics Annual Conference: Changing Structures in International and Financial Markets and the Effects on Financial Decision Making.* Venice, Italy. Jun 2005

Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions

Ñíguez, T.M. and Perote, J. 2005. Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions. *XXX Symposium of the Economic Analysis.* Murcia, Spain Dec 2005

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

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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.

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

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

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.

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

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.

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

Ñíguez, T.M. and Rubia, A. 2003. *Forecasting the conditional covariance matrix of a portfolio under long-run temporal dependence.* Valencia, Spain Instituto Valenciano de Investigaciones EconÃ³micas.

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

Ñíguez, T.M. 2003. *Volatility and VaR forecasting for the IBEX-35 stock-return index using figarch-type processes and different evaluation criteria.* Valencia, Spain Instituto Valenciano de Investigaciones EconÃ³micas.

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

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

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

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.

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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