Spot Rate Models on the Polish Market

Witold Szczepaniak ()
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Witold Szczepaniak: Wroclaw University of Economics and Business, Poland

Chapter 4 in Acta Universitatis Lodziensis. Folia Oeconomica nr 166/2003 - Modern Methods of Analysis and Forecasting Financial Markets, 2003, vol. 166, pp 51-61 from University of Lodz

Abstract: In this paper early spot rate models are presented as well as regression method and general method of moments of estimation of their parameters. These models are calibrated according to the Polish market with WIBOR rates calibration being an example.

Keywords: Vasičk model; Cox-Ingersoll-Ross model; Brennan-Schwartza model; Chan-Karolyieg-Longstafl-Sanders model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2003:n:166:ch:04:foe

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