Estimates of the Continuous Time Cox-Ingersoll-Ross Term Structure Model: Further Results for the UK Gilt-Edged Market

Posted: 24 Aug 2018

See all articles by Purnendu Nath

Purnendu Nath

London Business School

K. Ben Nowman

City University London

Date Written: October 6, 2010

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.

Keywords: Cox-Ingersoll-Ross, term structure, interest rates, Kalman filter, UK, gilt market, multi-factor, term structure

JEL Classification: E43, E47

Suggested Citation

Nath, Purnendu and Nowman, K. Ben, Estimates of the Continuous Time Cox-Ingersoll-Ross Term Structure Model: Further Results for the UK Gilt-Edged Market (October 6, 2010). Applied Economics Letters, Vol. 8, No. 2, 2001, Available at SSRN: https://ssrn.com/abstract=3231466

Purnendu Nath

London Business School ( email )

Sussex Place
Regent's Park
London NW1 4SA
United Kingdom

HOME PAGE: http://phd.london.edu/pnath

K. Ben Nowman (Contact Author)

City University London ( email )

Frobisher Crescent
Barbican Centre Centre for Math Trading & Finance
London EC2Y 8HB
United Kingdom
44 171 477 8698 (Phone)

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