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Euro and FIBOR interest rates: A continuous time modelling analysis

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  • Nowman, K.B.
  • Yahia, B.B.H.

Abstract

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.

Suggested Citation

  • Nowman, K.B. & Yahia, B.B.H., 2008. "Euro and FIBOR interest rates: A continuous time modelling analysis," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1029-1035, December.
    • Handle: RePEc:eee:finana:v:17:y:2008:i:5:p:1029-1035
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    More about this item

    Keywords

    G15 E43 CKLS Interest rate Euro Level;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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