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Original Articles

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

Pages 85-88 | Published online: 06 Oct 2010

References

  • Babbs , S. H. and Nowman , K. B. 1998 . An application of generalized Vasicek term structure models to the UK gilt-edged market: a kalman filtering analysis . Applied Financial Economics , 8 : 637 – 644 .
  • Breedon , F. 1995 . Bond prices and market expectations of inflation . Bank of England Quarterly Bulletin , May : 160 – 165 .
  • Chen , R. and Scott , L. 1995 . Multi-factor Cox-Ingersoll-Ross models of the term structure: estimates and tests from a kalman filter model unpublished paper
  • Cox , J. , Ingersoll , J. and Ross , S. 1985 . A theory of the term structure of interest rates . Econometrica , 53 : 385 – 407 .
  • Deacon , M. and Derry , A. 1994 . Estimating market interest and inflation expectations from the prices of UK government bonds . Bank of England Quarterly Bulletin , August : 232 – 240 .
  • Nowman , K. B. 1997 . Gaussian estimation of single-factor continuous time models of the term structure of interest rates . Journal of Finance , 52 : 1695 – 1706 .
  • Nowman , K. B. 1998 . Continuous time short rate interest rate models . Applied Financial Economics , 8 : 401 – 407 .
  • Steeley , J. M. 1997 . A two-factor model of the UK yield curve . The Manchester School, Supplement , 65 : 32 – 58 .

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