- Conference paper

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

Title | Gaussian estimation of continuous time macroeconomic model of the United Kingdom with unobservable stochastic trends |
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Authors | Bergstrom, A.R. and Nowman, K.B. |

Type | Conference paper |

Year | 2005 |

Conference | 3rd Nordic Econometric Meeting |

Publication dates | |

Published | 2005 |

Web address (URL) of conference proceedings | http://www.hanken.fi/nem2005/time_series_28may/bergstrom_nowman.pdf |

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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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Rex Bergstrom's contributions to continuous time macroeconometric modelling

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A continuous time econometric model of the United Kingdom with stochastic trends

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Continuous time interest rate models in Japanese fixed income markets

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Econometric modelling of the Euro using two factor continuous time dynamic interest rate models

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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 a continuous time macroeconomic model of the United Kingdom with unobservable stochastic trends

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Analysis of continuous time models of the euro interbank rate

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A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan

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An empirical comparison of interest rates using an interest rate model and nonparametric methods

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

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Forecasting Japanese interest rates: an empirical analysis

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Continuous time and nonparametric modelling of U.S. interest rate models

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Modelling commodity prices using continuous time models

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Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom

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An international comparison of pricing callable and puttable bonds in interbank financial markets

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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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