Parametric estimation of different interest rate processes

Michalis Ioannides and Frank Skinner

Applied Financial Economics, 2003, vol. 13, issue 6, 431-446

Abstract: The paper examines the estimation of alternative interest rate processes describing the dynamics of UK interest rates. The methodology concentrates on selecting non-parametrically the number of autocovariances to use in calculating a heteroscedasticity and autocorrelation consistent covariance matrix. This is important for drawing correct statistical inferences. It is found that the dependence of volatility on the level of interest rates is not as high in the UK market as has been documented in earlier studies of the US market. Further results reveal that there was a structural change in the parameters of the interest rate process during the period of the participation of Britain in the Exchange Rate Mechanism (ERM) of the European Monetary System. However, by utilizing the proposed non-parametric schemes, it is shown that statistical inference is sensitive to the correct choice of the number of autocovariances.

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

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100210155188 (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:apfiec:v:13:y:2003:i:6:p:431-446

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100210155188

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

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