The introduction of the Euro in January 1999 and the new reference interest rate EURIBOR® which is widely used as the underlying interest rate for Euro denominated derivative contracts have opened up a new area of research in international financial markets. In this paper we estimate single factor models using daily EURIBOR® and FIBOR interest rate data. We also estimate a model allowing a level-GARCH specification and a two factor model. We find evidence of level-volatility effects in both rates.
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Volume (Year): 17 (2008) Issue (Month): 5 (December) Pages: 1029-1035 Download reference. The following formats are available: HTML
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