Gaussian estimation of continuous time diffusions of UK interest rates

K. Ben Nowman

Mathematics and Computers in Simulation (MATCOM), 2011, vol. 81, issue 8, 1618-1624

Abstract: This paper estimates stochastic differential equation models for the interest rate dynamics of the United Kingdom bond market using Gaussian estimation econometric methods and monthly data over the period 1970–2010 using a range of maturities. Gaussian estimates of single and two equation models indicate that there is a relationship between the level of rates and the volatility of rates across the maturities. In addition, there is some evidence of feedback effects.

Keywords: Gaussian estimation; CKLS; CIRSR; Term structure; Feedback effect (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:81:y:2011:i:8:p:1618-1624

DOI: 10.1016/j.matcom.2010.12.001

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