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| Titel: |
A comparison of short-term interest rate models: empirical tests of interest rate volatility |
| Auteur: |
Niizeki, Mikiyo Kii |
| Verschenen in: |
Applied financial economics |
| Paginering: | Jaargang 8 (1998) nr. 5 pagina's 505-512 |
| Jaar: |
1998-10-01 |
| Inhoud: |
This paper investigates short-term interest rate models using daily data for both the US and Japan over the five years October 1989 to January 1994. A nonparametric method is used to estimate the volatility of the short-term interest rate and the results are compared with those from a parametric method. Three important features are found. First, a two-factor model can capture the behaviour of the interest rate better than a one-factor model. Second, although the US interest rate does not exhibit the mean reverting property, the Japanese interest rate does. Third, in contrast to the Japanese interest rate, the conditional variance of US interest rate changes is found to depend on the level of the interest rate. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
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