The ECU term structure of interest rates

Joao Neves and K. Ben Nowman

The European Journal of Finance, 2003, vol. 9, issue 2, 194-197

Abstract: This paper provides one of the few applications to the ECU curve of a Gaussian multifactor model of the term structure of interest rates. We estimate one, two and three factor Generalized Vaslcek models using panel data accounting for both the cross-sectional and dynamic implications of the yield curve to be taken into account. Our empirical results indicate that the model provides a good description of the ECU yield curve.

Date: 2003
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DOI: 10.1080/13518470110072046

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