Estimation of one-, two- and three-factor generalized Vasicek term structure models for Japanese interest rates using monthly panel data

K. Ben Nowman

Applied Financial Economics, 2011, vol. 21, issue 14, 1069-1078

Abstract: In this article, we estimate one-, two- and three-factor generalized Vasicek interest rate models using Japanese yield curve panel data over the important period 2000 to 2010. The state space form of the model is presented and the Kalman filter applied. The empirical results provide support for the two and three factor models and simulations of the models over the period indicate that the two and three factor models performance tracks the Japanese yield curve.

Keywords: interest rates; Japan; Kalman filter; estimation (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1080/09603107.2011.562165

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