Fitting Correlations Within and Between Bond Markets

Hans Dewachter and Konstantijn Maes ()

International Economics Working Papers Series from Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics

Abstract: In this paper we estimate and test a multi-factor CIR model for three countries: the USA, Germany and the UK. We find that the estimated model reproduces not only the correlation within each of the bond markets considered but also those observed between markets, suggesting the existence of common factors.

Keywords: multi-factor CIR model; Kalman filter; common factors (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2001-11
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Citations: View citations in EconPapers (1)

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