An empirical comparison of interest rates using an interest rate model and nonparametric methods

A continuous time interest rate model is estimated using Gaussian estimation methods of Nowman ( Journal of Finance , 52 , 1695-706, 1997; Asia Pacific Financial Markets , 8 , 23-34, 2001) and compare forecasts of interest rates with nonparametric methods on a range of currencies. Generally it is found that the continuous time model and local linear regression perform the best. The results give further evidence to the empirical results in Saltoglu