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The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates

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  • Nowman, K. Ben

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  • Nowman, K. Ben, 2002. "The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 29-38.
    • Handle: RePEc:eee:finana:v:11:y:2002:i:1:p:29-38
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    1. Bergstrom, A.R., 1984. "Continuous time stochastic models and issues of aggregation over time," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 20, pages 1145-1212, Elsevier.
    2. Bergstrom, A. R., 1986. "The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data," Econometric Theory, Cambridge University Press, vol. 2(3), pages 350-373, December.
    3. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    4. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    5. Hiraki, Takato & Takezawa, Nobuya, 1997. "How sensitive is short-term Japanese interest rate volatility to the level of the interest rate?," Economics Letters, Elsevier, vol. 56(3), pages 325-332, November.
    6. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    7. Brennan, Michael J. & Schwartz, Eduardo S., 1980. "Analyzing Convertible Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(4), pages 907-929, November.
    8. Dothan, L. Uri, 1978. "On the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 59-69, March.
    9. Chan, K C, et al, 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    10. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    11. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
    12. 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.
    13. Tse, Y. K., 1995. "Some international evidence on the stochastic behavior of interest rates," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 721-738, October.
    14. Byers, S. L. & Nowman, K. B., 1998. "Forecasting U.K. and U.S. interest rates using continuous time term structure models," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 191-206.
    15. Episcopos, Athanasios, 2000. "Further evidence on alternative continuous time models of the short-term interest rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 199-212, June.
    16. Bergstrom, A. R., 1985. "The Estimation of Parameters in Nonstationary Higher Order Continuous-Time Dynamic Models," Econometric Theory, Cambridge University Press, vol. 1(3), pages 369-385, December.
    17. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1980. "An Analysis of Variable Rate Loan Contracts," Journal of Finance, American Finance Association, vol. 35(2), pages 389-403, May.
    18. Bergstrom, Albert Rex, 1983. "Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models," Econometrica, Econometric Society, vol. 51(1), pages 117-152, January.
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    1. repec:ebl:ecbull:v:7:y:2007:i:7:p:1-10 is not listed on IDEAS
    2. K. Nowman, 2003. "A Note on Gaussian Estimation of the CKLS and CIR Models with Feedback Effects for Japan," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 275-279, September.
    3. Quentin Wodon, 2007. "Constructing Fama-French Factors from style indexes: Japanese evidence," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-10.
    4. Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, University Library of Munich, Germany.
    5. K. Ben Nowman & Burak Saltoglu, 2003. "An empirical comparison of interest rates using an interest rate model and nonparametric methods," Applied Economics Letters, Taylor & Francis Journals, vol. 10(10), pages 643-645.
    6. Baker, H. Kent & Kumar, Satish & Goyal, Kirti & Sharma, Anuj, 2021. "International review of financial analysis: A retrospective evaluation between 1992 and 2020," International Review of Financial Analysis, Elsevier, vol. 78(C).

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