- Article

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

Title | An empirical comparison of interest rates using an interest rate model and nonparametric methods |
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Authors | Nowman, K.B. and Saltoglu, B. |

Abstract | A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman ( Journal of Finance , 52 , 1695-706, 1997; Asia Pacific Financial Markets , 8 , 23-34, 2001) and compare forecasts of interest rates with nonparametric methods on a range of currencies. Generally it is found that the continuous time model and local linear regression perform the best. The results give further evidence to the empirical results in Saltoglu. |

Journal | Applied Economics Letters |

Journal citation | 10 (10), pp. 643-645 |

ISSN | 1350-4851 |

Year | Aug 2003 |

Digital Object Identifier (DOI) | doi:10.1080/1350485032000133318 |

Publication dates | |

Published | Aug 2003 |

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