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Applied Economics Letters Volume 10, 2003 - Issue 10
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Original Articles

An empirical comparison of interest rates using an interest rate model and nonparametric methods

K. Ben Nowman Westminster Business School, University of Westminster, 35 Marylebone Road, London NW1 5LS, UK
&
Burak Saltoglu Department of Economics, Marmara University, Kuyubaşi, Kadiköy, 81040, İstanbul, Turkey
Pages 643-645 | Published online: 06 Oct 2010

References

  • Brennan , M. J. and Schwartz , E. S. 1979 . A continuous time approach to the pricing of bonds . Journal of Banking and Finance , 3 : 133 – 155 .
  • Chan , K. C. , Karolyi , G. A. , Longstaff , F. A. and Sanders , A. B. 1992 . An empirical comparison of alternative models of the short-term interest rate . Journal of Finance , 47 : 1209 – 1227 .
  • Cox , J. C. , Ingersoll , J. E. and Ross , S. 1985 . A theory of the term structure of interest rates . Econometrica , 53 : 385 – 407 .
  • Episcopos , A. 2000 . Further evidence on alternative continuous time models of the short-term interest rate . Journal of International Financial Markets, Institutions and Money , 10 : 199 – 212 .
  • 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. 2001 . Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom . Asia Pacific Financial Markets , 8 : 23 – 34 .
  • Nowman , K. B. 2002 . The volatility of Japanese interest rates: evidence for certificate of deposit and gensaki rates . International Review of Financial Analysis , 11 : 29 – 38 .
  • Nowman , K. B. and Saltoglu , B. 2003 . Continuous time and nonparametric modelling of US interest rate models . International Review of Financial Analysis , 12 : 25 – 34 .
  • Saltoglu , B. 2003 . Comparing forecasting ability of parametric and nonparametric methods: application with Canadian monthly interest rates . Applied Financial Economics , 13 : 169 – 176 .
  • Vasicek , O. 1977 . An equilibrium characterization of the term structure . Journal of Financial Economics , 5 : 177 – 188 .

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