Add to ORKGThe determination of the dynamics of the short-term interest rate is of importance for the pricing of bonds in the Japanese financial markets. This paper analyses the performance of the Yu and Phillips estimation method on Japanese interest rates based on an exact Gaussian discrete model of a continuous time model for the interest rate. This approach is used together with Nowman’s discrete time model to estimate different specifications of the interest rate, using interbank rates with different maturities. The study finds that the CIR model provides a good description of the interest rate and should be used in the pricing of bonds in the Japanese markets
In this article, we estimate one-, two- and three-factor generalized Vasicek interest rate models us...
Black’s (1995) model of interest rates as options assumes that there is a shadow instantaneous inter...
This paper analyzes the relationship between Japanese Government Bond and Japanese Yen Interest Rate...
This paper analyses the performance of the Yu and Phillips (2001) estimation method for the case of ...
A number of continuous time models of the short-term interest rate are estimated using recently deve...
In this paper, we apply the recently introduced Gaussian estimation methodology in the estimation of...
A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman ( Jou...
I investigated the existence and its direction of the interest rates arbitrage among Japanese Money ...
This paper estimates stochastic differential equation models for the interest rate dynamics of the U...
Interest rate is one of the most important factors to affect the financial market. Almost all kinds ...
In this paper the short- and long-run movements of the Japanese yen-US dollar exchange rate are mode...
The purpose of this study is to compare the different short-term interest rate models, and to identi...
In this note we extend the Gaussian estimation of two factor CKLS and CIR models recently considered...
The core of this work is to introduce the probabilistic techniques used in widely applied financial ...
Abstract. Seven di erent Japanese Yen interest rates recorded on a daily basis for the period from 1...
In this article, we estimate one-, two- and three-factor generalized Vasicek interest rate models us...
Black’s (1995) model of interest rates as options assumes that there is a shadow instantaneous inter...
This paper analyzes the relationship between Japanese Government Bond and Japanese Yen Interest Rate...
This paper analyses the performance of the Yu and Phillips (2001) estimation method for the case of ...
A number of continuous time models of the short-term interest rate are estimated using recently deve...
In this paper, we apply the recently introduced Gaussian estimation methodology in the estimation of...
A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman ( Jou...
I investigated the existence and its direction of the interest rates arbitrage among Japanese Money ...
This paper estimates stochastic differential equation models for the interest rate dynamics of the U...
Interest rate is one of the most important factors to affect the financial market. Almost all kinds ...
In this paper the short- and long-run movements of the Japanese yen-US dollar exchange rate are mode...
The purpose of this study is to compare the different short-term interest rate models, and to identi...
In this note we extend the Gaussian estimation of two factor CKLS and CIR models recently considered...
The core of this work is to introduce the probabilistic techniques used in widely applied financial ...
Abstract. Seven di erent Japanese Yen interest rates recorded on a daily basis for the period from 1...
In this article, we estimate one-, two- and three-factor generalized Vasicek interest rate models us...
Black’s (1995) model of interest rates as options assumes that there is a shadow instantaneous inter...
This paper analyzes the relationship between Japanese Government Bond and Japanese Yen Interest Rate...