Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market

Abstract

Estimates are made of multi-factor versions of the Cox-Ingersoll-Ross model of the term structure of interest rates using the Kalman filter. Estimates are obtained using weekly UK Gilt-edged market data over the period 1982–1997. Empirical results support the need for a multi-factor model and support recent findings of Babbs and Nowman for this market.