Article ID Journal Published Year Pages File Type
1140783 Mathematics and Computers in Simulation 2011 7 Pages PDF
Abstract
This paper estimates stochastic differential equation models for the interest rate dynamics of the United Kingdom bond market using Gaussian estimation econometric methods and monthly data over the period 1970-2010 using a range of maturities. Gaussian estimates of single and two equation models indicate that there is a relationship between the level of rates and the volatility of rates across the maturities. In addition, there is some evidence of feedback effects.
Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
Authors
,