- Conference paper

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

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

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

Type | Conference paper |

Year | 2005 |

Conference | Westminster Business School Workshop in Memory of the Late Professor Albert Rex Bergstrom on Continuous Time Econometrics |

Publication dates | |

Published | 2005 |

Flexible distribution functions, higher-order preferences and optimal portfolio allocation

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2019. Flexible distribution functions, higher-order preferences and optimal portfolio allocation. *Quantitative Finance.* 19 (4), pp. 699-703. doi:10.1080/14697688.2018.1550264

Time-varying SNP distribution and portfolio performance

Ñíguez, T.M. and Leon, A. 2018. Time-varying SNP distribution and portfolio performance. *Workshop in Quantitative Economics, University of Alicante.* Alicante 30 May 2018 - 31 Jan 2019

Semi-Nonparametric Distributions with Time-Varying Skewness and Kurtosis: Properties, Estimation and Applications to Portfolio Choice

Ñíguez, T.M. and Leon, A 2018. Semi-Nonparametric Distributions with Time-Varying Skewness and Kurtosis: Properties, Estimation and Applications to Portfolio Choice. *The 26th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics.* Tokyo (Japan) 19 - 20 Mar 2018

Moments expansion densities for quantifying financial risk

Ñíguez, T.M. and Perote, J. 2017. Moments expansion densities for quantifying financial risk. * 15th INFINITI Conference on International Finance.* Valencia, Spain. Jun 2017

Moments expansion densities for quantifying financial risk

Ñíguez, T.M. and Perote, J. 2017. Moments expansion densities for quantifying financial risk. *North American Journal of Economics and Finance.* 42, pp. 53-69. doi:10.1016/j.najef.2017.06.002

Multivariate Approximations to Portfolio Return Distribution

Mora-Valencia, A., Ñíguez, T.M. and Perote, J. 2017. Multivariate Approximations to Portfolio Return Distribution. *Computational and Mathematical Organization Theory.* 23 (3), pp. 347-361. doi:10.1007/s10588-016-9231-3

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

Pure higher-order effects in the portfolio choice model

Ñíguez, T.M., Paya, I. and Peel, D. 2016. Pure higher-order effects in the portfolio choice model. *Finance Research Letters.* 19, pp. 255-260. doi:10.1016/j.frl.2016.08.010

Exchange-Trade Funds Evaluation using Performance Measures Distribution

Leon, A., Ñíguez, T.M. and Perote, J. 2016. Exchange-Trade Funds Evaluation using Performance Measures Distribution. *36th International Symposium on Forecasting.* Santander, Spain. Jun 2016

Multivariate moments expansion density: application of the dynamic equicorrelation model

Ñíguez, T.M. and Perote, J. 2016. Multivariate moments expansion density: application of the dynamic equicorrelation model. *Bank of Spain Working Papers Series.* 1602.

Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model

Ñíguez, T.M. and Perote, J. 2016. Multivariate Moments Expansion Density: Application of the Dynamic Equicorrelation Model. *Jounal of Banking & Finance.* 72, p. S216–S232. doi:10.1016/j.jbankfin.2015.12.012

Evaluating monthly volatility forecasts using proxies at different frequencies

Ñíguez, T.M. 2016. Evaluating monthly volatility forecasts using proxies at different frequencies. *Finance Research Letters.* 17, pp. 41-47. doi:10.1016/j.frl.2016.01.008

The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model

Ñíguez, T.M. and Perote, J. 2015. The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model. *35th International Symposium on Forecasting.* Riverside, USA. Jun 2015

Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2015. Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation. *Bank of Spain Working Paper Series.* 1520.

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).

Higher-order moments in the theory of diversifying and portfolio composition

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2014. Higher-order moments in the theory of diversifying and portfolio composition. *XXII Annual Symposium of the Society of Nonlinear Dynamics and Econometrics .* New York, USA. Apr 2014

Higher-order Moments in the Theory of Diversification and Portfolio Composition

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2014. Higher-order Moments in the Theory of Diversification and Portfolio Composition. *XV Conference on International Economics, Spanish Association of International Economics and Finance.* Salamanca, Spain. May 2014

The Moments Expansion Density

Ñíguez, T.M. and Perote, J. 2014. The Moments Expansion Density. *10th BMRC-DEMS Conference.* Brunel University, London, UK. May 2014

The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model

Ñíguez, T.M. and Perote, J. 2014. The Multivariate Moments Expansion Density: An Application of the Dynamic Equicorrelation Model. *Annual International Finance and Banking Conference, International Finance and Banking Society.* Lisbon, Portugal. Jun 2014

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. doi: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. 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. doi:10.1504/IJBD.2013.056935

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

Adetola, A., Li, Shuliang, Rieple, A. and Ñíguez, T.M. 2013. Linking social media, intelligent agents and expert systems for formulating open innovation strategies for software development. in: Mathematics and Computers in Contemporary Science (WSEAS proceedings of the 11th International Conference on E-Activities), Nanjing, China, 17th -19th November, 2013 WSEAS. pp. 234-240

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. doi: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 Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions

Ñíguez, T.M. and Perote, J. 2012. Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions. *Oxford Bulletin of Economics and Statistics.* 74 (4), pp. 600-627. doi:10.1111/j.1468-0084.2011.00663.x

On the Stability of the Constant Relative Risk Aversion Utility under High Degrees of Uncertainty

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2012. On the Stability of the Constant Relative Risk Aversion Utility under High Degrees of Uncertainty. *Economics Letters .* 115 (2), pp. 244-248. doi:doi:10.1016/j.econlet.2011.12.049

An analysis of the decision for plunging using log-SNP distributed asset returns

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2012. An analysis of the decision for plunging using log-SNP distributed asset returns. *Annual symposium of the society of nonlinear dynamics and econometrics.* Istanbul, Turkey. April 5-6 2012

Forecasting overseas visitors into the United Kingdom using continuous time and autoregressive fractional integrated moving average models with discrete data

Nowman, K.B. and Van Dellen, S. 2012. Forecasting overseas visitors into the United Kingdom using continuous time and autoregressive fractional integrated moving average models with discrete data. *Tourism Economics.* 18 (4), pp. 835-844. doi: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. doi:10.1016/j.matcom.2010.12.001

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

Ñíguez, T.M. and Perote, J. 2011. A New Proposal for Computing Portfolio Value-at-Risk for Semi-nonparametric Distributions. *International Journal of Mathematics and Computers in Simulation .* 5 (2), pp. 85-92.

Multivariate Semi-nonparametric Distributions with Dynamic Conditional Correlations

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2011. Multivariate Semi-nonparametric Distributions with Dynamic Conditional Correlations. *International Journal of Forecasting.* 27 (2), pp. 347-364. doi:10.1016/j.ijforecast.2010.02.005

Multivariate distributions based on general moments expansions: evidence from exchange rates

Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. *4th workshop in risk management and insurance.* Seville, Spain. October 2011

Multivariate distributions based on general moments expansions: evidence from exchange rates

Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. *European financial management association annual conference.* Braga, Portugal. June 2011

Multivariate distributions based on general moments expansions: evidence from exchange rates

Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. *International risk management conference.* Amsterdam, Netherlands. June 2011

Multivariate distributions based on general moments expansions: evidence from exchange rates

Ñíguez, T.M., Perote, J. and Rubia, A. 2011. Multivariate distributions based on general moments expansions: evidence from exchange rates. *Workshop in time series econometrics.* Zaragoza, Spain. April 2011

On the stability of the CRRA utility under high degrees of uncertainty

Ñíguez, T.M., Paya, I., Peel, D. and Perote, J. 2011. *On the stability of the CRRA utility under high degrees of uncertainty.* Lancaster University Management School.

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

Nowman, K.B. 2011. Estimation of one, two and three factor generalized vasicek term structure models for Japanese interest rates using monthly panel data. *Applied Financial Economics.* 21 (14), pp. 1069-1078. doi:10.1080/09603107.2011.562165

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. doi: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).

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

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2010. The SNP-DCC model: a new methodology for risk management and forecasting. *European financial management association annual conference.* Aarhus, Denmark. June 2010

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

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2010. *The SNP-DCC model: a new methodology for risk management and forecasting.* Fundación de las Cajas de Ahorros.

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. doi:10.1017/S0266466608090427

Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution

Ñíguez, T.M., Perote, J. and Rubia, A. 2009. Forecasting the Unconditional and Conditional Kurtosis of the Asset Returns Distribution. in: Molnar A, T. (ed.) Economic Forecasting Nova Science Publishers. pp. 229-248

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

Ñíguez, T.M., Perote, J. and Rubia, A. 2009. Are the High-Order Moments of the Assets Returns Distribution Forecastable? *Journal of Current Issues in Finance, Business and Economics.* 2 (4), pp. 383-401.

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.

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. doi:10.1080/14697680902773611

Multivariate semi-nonparametric densities with dynamic conditional correlations

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2009. Multivariate semi-nonparametric densities with dynamic conditional correlations. *29th International Symposium on Forecasting.* Hong Kong, China. June 2009

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. doi:10.1016/j.irfa.2008.06.001

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. doi:10.1007/s10108-007-9030-6

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

Ñíguez, T.M. 2008. *Predicting the monthly volatility of the EuroStoxx 50 Index using data sampled at different frequencies. Macroeconomic forecast and analysis laboratory discussion paper.* Institute Flores de Lemus, Carlos III University of Madrid.

Multivariate Gram-Charlier densities

Del Brio, E.B., Ñíguez, T.M. and Perote, J. 2008. *Multivariate Gram-Charlier densities.* Savings Banks Foundation. doi:WorkingPaperNo.381

Semi-parametric density expansions: orthogonality vs simplicity

Ñíguez, T.M. and Perote, J. 2007. Semi-parametric density expansions: orthogonality vs simplicity. *XXVII International Symposium on Forecasting.* New York, NY, USA 24 - 27 Jun 2007

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

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. doi:10.1002/for.997

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

Forecasting the density of asset returns

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

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. doi: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

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. doi: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. doi: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. doi:10.1080/09603100110112041

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. doi:WP-AD2003-34

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. doi:WP-AD2003-33

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. doi: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 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. doi: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. doi: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. doi: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. doi: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.

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