The Volatility of Greek Interbank Rates: A Continuous Time Analysis

European Research Studies Journal, Vol. 1, pp. 5-14, 1998

Posted: 30 Mar 2005

See all articles by K. Ben Nowman

K. Ben Nowman

City University London

Sotiris K. Staikouras

City University - Cass Business School; ALBA Graduate Business School

Abstract

In this paper we investigate the relationship between the volatility of Greek interbank rates and the level of rates by estimating the important CKLS interest rate model using the estimation method of (Nowman,1997). We also estimate the interest rate models of Merton, Vasicek, CIRSR, Dothan, GBM, Brennan and Schwartz, CIRVR, and CEV models. We find the volatility of short-term rates is highly sensitive to the level of rates in Greece and is much higher than is usually assumed by these commonly used models in the financial markets.

Keywords: Short-term interest rates, Continuous time analysis

JEL Classification: C22, E43

Suggested Citation

Nowman, K. Ben and Staikouras, Sotiris, The Volatility of Greek Interbank Rates: A Continuous Time Analysis. European Research Studies Journal, Vol. 1, pp. 5-14, 1998. Available at SSRN: https://ssrn.com/abstract=679421

K. Ben Nowman (Contact Author)

City University London ( email )

Frobisher Crescent
Barbican Centre Centre for Math Trading & Finance
London EC2Y 8HB
United Kingdom
44 171 477 8698 (Phone)

Sotiris Staikouras

City University - Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

ALBA Graduate Business School ( email )

Athinas Ave. & 2A Areos Str.
Vouliagmeni 166 71, Athens
Greece

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