IDEAS home Printed from https://ideas.repec.org/a/bla/jfinan/v52y1997i4p1695-1706.html
   My bibliography  Save this article

Gaussian Estimation of Single-Factor Continuous Time Models of the Term Structure of Interest Rates

Author

Listed:
  • Nowman, K B

Abstract

This article presents the first application in finance of recently developed methods for the Gaussian estimation of continuous time dynamic models. A range of one factor continuous time models of the short-term interest rate are estimated using a discrete time model and compared to a recent discrete approximation used by K. C. Chan, et al. (1992). Whereas the volatility of short-term rates is highly sensitive to the level of rates in the United States, it is not in the United Kingdom. Copyright 1997 by American Finance Association.

Suggested Citation

  • Nowman, K B, 1997. "Gaussian Estimation of Single-Factor Continuous Time Models of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 52(4), pages 1695-1706, September.
    • Handle: RePEc:bla:jfinan:v:52:y:1997:i:4:p:1695-1706
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0022-1082%28199709%2952%3A4%3C1695%3AGEOSCT%3E2.0.CO%3B2-R&origin=repec
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:52:y:1997:i:4:p:1695-1706. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/afaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.