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Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market

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  • Purnendu Nath
  • K. Ben Nowman

Abstract

Estimates are made of multi-factor versions of the Cox-Ingersoll-Ross model of the term structure of interest rates using the Kalman filter. Estimates are obtained using weekly UK Gilt-edged market data over the period 1982-1997. Empirical results support the need for a multi-factor model and support recent findings of Babbs and Nowman for this market.

Suggested Citation

  • Purnendu Nath & K. Ben Nowman, 2001. "Estimates of the continuous time Cox-Ingersoll-Ross term structure model: further results for the UK gilt-edged market," Applied Economics Letters, Taylor & Francis Journals, vol. 8(2), pages 85-88.
    • Handle: RePEc:taf:apeclt:v:8:y:2001:i:2:p:85-88
    DOI: 10.1080/13504850150204110
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    References listed on IDEAS

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    1. Steeley, James M, 1997. "A Two-Factor Model of the U.K. Yield Curve," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 32-58, Supplemen.
    2. K. Ben Nowman, 1998. "Continuous-time short term interest rate models," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 401-407.
    3. 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.
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