Euro and FIBOR interest rates: A continuous time modelling analysis

K.B. Nowman and B.B.H. Yahia

International Review of Financial Analysis, 2008, vol. 17, issue 5, 1029-1035

Abstract: The introduction of the Euro in January 1999 and the new reference interest rate EURIBOR® which is widely used as the underlying interest rate for Euro denominated derivative contracts have opened up a new area of research in international financial markets. In this paper we estimate single factor models using daily EURIBOR® and FIBOR interest rate data. We also estimate a model allowing a level-GARCH specification and a two factor model. We find evidence of level-volatility effects in both rates.

Keywords: G15; E43; CKLS; Interest; rate; Euro; Level (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:17:y:2008:i:5:p:1029-1035

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