Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market

Authors
Nath, P Ben Nowman, K
Citation
P. Nath et K. Ben Nowman, Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market, APPL ECON L, 8(2), 2001, pp. 85-88
Citations number
8
Categorie Soggetti
Economics
Journal title
APPLIED ECONOMICS LETTERS
ISSN journal
13504851 → ACNP
Volume
8
Issue
2
Year of publication
2001
Pages
85 - 88
Database
ISI
SICI code
1350-4851(200102)8:2<85:EOTCTC>2.0.ZU;2-K
Abstract
Estimates are made of multi-factor versions of the Cox-Ingersoll-Ross model of the term structure of interest rates using the Kalman filter. Estimates are obtained using weekly UK Gilt-edged market data over the period 1982-1 997. Empirical results support the need for a multi-factor model and suppor t recent findings of Babbs and Nowman for this market.