Estimates of the Continuous Time Cox-Ingersoll-Ross Term Structure Model: Further Results for the UK Gilt-Edged Market
Posted: 24 Aug 2018
Date Written: October 6, 2010
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.
Keywords: Cox-Ingersoll-Ross, term structure, interest rates, Kalman filter, UK, gilt market, multi-factor, term structure
JEL Classification: E43, E47
Suggested Citation: Suggested Citation