An empirical comparison of interest rates using an interest rate model and nonparametric methods

K. Ben Nowman and Burak Saltoğlu

Applied Economics Letters, 2003, vol. 10, issue 10, 643-645

Abstract: A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman (Journal of Finance, 52, 1695-706, 1997; Asia Pacific Financial Markets, 8, 23-34, 2001) and compare forecasts of interest rates with nonparametric methods on a range of currencies. Generally it is found that the continuous time model and local linear regression perform the best. The results give further evidence to the empirical results in Saltoglu (Applied Financial Economics, 13, 169-176, 2003).

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:10:y:2003:i:10:p:643-645

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/1350485032000133318

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().