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

Purnendu Nath and K. Ben Nowman

Applied Economics Letters, 2001, vol. 8, issue 2, 85-88

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 1982-1997. Empirical results support the need for a multi-factor model and support recent findings of Babbs and Nowman for this market.

Date: 2001
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DOI: 10.1080/13504850150204110

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