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Some international evidence on the stochastic behavior of interest rates

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  • Tse, Y. K.

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  • 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.
    • Handle: RePEc:eee:jimfin:v:14:y:1995:i:5:p:721-738
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    1. Chen, Ren-Raw & Scott, Louis O, 1992. "Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure," The Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 613-636.
    2. 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..
    3. 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..
    4. Lo, Andrew W., 1988. "Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data," Econometric Theory, Cambridge University Press, vol. 4(2), pages 231-247, August.
    5. Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
    6. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    7. Tse, Y.K., 1992. "MLE of some continuous time financial models: Some Monte Carlo results," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(5), pages 575-580.
    8. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    9. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    10. repec:bla:jfinan:v:44:y:1989:i:1:p:205-09 is not listed on IDEAS
    11. Chen, Ren-Raw, 1992. "Exact Solutions for Futures and European Futures Options on Pure Discount Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(1), pages 97-107, March.
    12. Kaushik I. Amin & Robert A. Jarrow, 2008. "Pricing foreign currency options under stochastic interest rates," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 14, pages 307-326, World Scientific Publishing Co. Pte. Ltd..
    13. Dothan, L. Uri, 1978. "On the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 59-69, March.
    14. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
    15. 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.
    16. Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
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    Cited by:

    1. Sirimon Treepongkaruna, 2003. "Quasi-maximum likelihood estimates of Kiwi short-term interest rate," Applied Economics Letters, Taylor & Francis Journals, vol. 10(15), pages 937-942.
    2. Peter Aling & Shakill Hassan, 2012. "No-Arbitrage One-Factor Models Of The South African Term Structure Of Interest Rates," South African Journal of Economics, Economic Society of South Africa, vol. 80(3), pages 301-318, September.
    3. Benjamin M. Tabak, 2007. "Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(3), pages 231-246, November.
    4. Nowman, K. Ben & Sorwar, Ghulam, 2005. "Derivative prices from interest rate models: results for Canada, Hong Kong, and United States," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 428-438.
    5. Mahdavi, Mahnaz, 2008. "A comparison of international short-term rates under no arbitrage condition," Global Finance Journal, Elsevier, vol. 18(3), pages 303-318.
    6. Nowman, Khalid Ben, 2010. "Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 334-341, December.
    7. Tse, Y.K., 1995. "Interest rate models and option pricing: A sensitivity analysis," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 431-436.
    8. 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.
    9. Des Mc Manus & David Watt, 1999. "Estimating One-Factor Models of Short-Term Interest Rates," Staff Working Papers 99-18, Bank of Canada.
    10. Nowman, K. Ben, 2011. "Gaussian estimation of continuous time diffusions of UK interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(8), pages 1618-1624.
    11. Giacomo Morelli, 2021. "Fair prices under a unified lattice approach for interest rate derivatives," Annals of Operations Research, Springer, vol. 299(1), pages 429-441, April.
    12. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    13. Choi, Youngsoo & Wirjanto, Tony S., 2007. "An analytic approximation formula for pricing zero-coupon bonds," Finance Research Letters, Elsevier, vol. 4(2), pages 116-126, June.
    14. 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.
    15. 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.
    16. Tunaru, Diana, 2017. "Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 119-129.
    17. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    18. Nowman, K.Ben & Sorwar, Ghulam, 1998. "Computation of Japanese bonds and derivative securities," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 47(6), pages 583-588.
    19. 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.
    20. Andrew D. Sanford & Gael M. Martin, 2006. "Bayesian comparison of several continuous time models of the Australian short rate," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(2), pages 309-326, June.
    21. 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.
    22. Ghulam Sorwar, 2005. "Implied derivative security prices based two-factor interest model: a UK application," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 739-744.
    23. K. Ben Nowman, 1998. "Continuous-time short term interest rate models," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 401-407.

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