Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models

Adkins, 1999, Mean reversion and volatility of short-term London interbank offer rates: An empirical comparison of competing models, International Review of Economics and Finance, 8, 45, 10.1016/S1059-0560(99)00004-0 Anderson, 1999, New estimates of the UK real and nominal yield curves, Bank of England Quarterly Bulletin, 344 Babbs, 1998, An application of generalized Vasicek term structure models to the UK gilt-edge market: A Kalman filtering analysis, Applied Financial Economics, 8, 637, 10.1080/096031098332673 Babbs, 1998, Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence, Asia-Pacific Financial Markets, 5, 159, 10.1023/A:1010086132390 Babbs, 1999, Kalman filtering of generalized Vasicek term structure models, Journal of Financial and Quantitative Analysis, 34, 115, 10.2307/2676248 Bali, 2000, Testing the empirical performance of stochastic volatility models of the short term interest rate, Journal of Financial and Quantitative Analysis, 35, 191, 10.2307/2676190 Bali, 2003, Modeling the stochastic behaviour of short-term interest rates: Pricing implications for discount bonds, Journal of Banking & Finance, 27, 201, 10.1016/S0378-4266(01)00216-3 Bali, 2006, A comprehensive analysis of the short-term interest-rate dynamics, Journal of Banking & Finance, 30, 1269, 10.1016/j.jbankfin.2005.05.003 Bergstrom, 1984, Continuous time stochastic models and issues of aggregation over time, Vol. 2, 1146 Brenner, 1996, Another look at models of the short-term interest rate, Journal of Financial and Quantitative Analysis, 31, 85, 10.2307/2331388 Chan, 1992, Comparison of models of the short-term interest rate, Journal of Finance, 47, 1209, 10.1111/j.1540-6261.1992.tb04011.x Chatterjee, R. (2004). Application of the Kalman filter for estimating continuous time term structure models: Evidence from the UK and Germany. Unpublished paper, Department of Economics, University of Glasgow. Chen, 2003, Multi-factor Cox–Ingersoll–Ross models of the term structure: Estimates and tests from a Kalman filter model, Journal of Real Estate Finance and Economics, 27, 143, 10.1023/A:1024736903090 Christiansen, 2008, Level-ARCH short rate models with regime switching: Bivariate modelling of US and European short rates, International Review of Financial Analysis, 17, 925, 10.1016/j.irfa.2007.11.002 Czellar, 2007, Indirect robust estimation of the short-rate interest rate process, Journal of Empirical Finance, 14, 546, 10.1016/j.jempfin.2006.09.004 Dahlquist, 1996, On alternative interest rate processes, Journal of Banking & Finance, 20, 1093, 10.1016/0378-4266(95)00045-3 Date, 2009, Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting, European Journal of Operational Research, 195, 156, 10.1016/j.ejor.2008.01.035 De Jong, 2000, Time series and cross section information in affine term structure models, Journal of Business and Economic Statistics, 18, 300, 10.2307/1392263 Driessen, 2005, Testing affine term structure models in case of transaction costs, Journal of Econometrics, 126, 201, 10.1016/j.jeconom.2004.04.014 Duan, 1999, Estimating and testing exponential-affine term structure models by kalman filter, Review of Quantitative Finance and Accounting, 13, 111, 10.1023/A:1008304625054 Duffee, 2004, Estimation of dynamic term structure models Episcopos, 2000, Further evidence on alternative continuous time models of the short term interest rate, Journal of International Financial Markets, Institutions and Money, 10, 199, 10.1016/S1042-4431(99)00032-3 Faff, 2006, On the estimation and comparison of short-rate models using the generalised method of moments, Journal of Banking & Finance, 30, 3131, 10.1016/j.jbankfin.2005.09.016 Fernandez, 2001, A nonparametric approach to model the term structure of interest rates: The case of Chile, International Review of Financial Analysis, 10, 99, 10.1016/S1057-5219(01)00046-1 Geyer, 1999, A state-space approach to estimate and test multi-factor Cox–Ingersoll–Ross models of the term structure, Journal of Financial Research, 22, 107, 10.1111/j.1475-6803.1999.tb00717.x Hiraki, 1997, How sensitive is short-term Japanese interest rate volatility to the level of the interest rate?, Economic Letters, 56, 325, 10.1016/S0165-1765(97)00133-X Hong, 2010, Modeling the dynamics of Chinese spot interest rates, Journal of Banking & Finance, 34, 1047, 10.1016/j.jbankfin.2009.11.002 Jegadeesh, 1996, The behaviour of interest rates implied by the term structure of eurodollar futures, Journal of Money, Credit and Banking, 28, 426, 10.2307/2077890 Langetieg, 1980, A multivariate model of the term structure, Journal of Finance, 35, 71 Litterman, 1991, Common factors affecting bond returns, Journal of Fixed Income, 1, 54, 10.3905/jfi.1991.692347 Nowman, 1997, Gaussian estimation of single-factor continuous time models of the term structure of interest rates, Journal of Finance, 52, 1695, 10.1111/j.1540-6261.1997.tb01127.x Nowman, 2006, Continuous time interest rate models in Japanese fixed income markets, 321 Nowman, 2003, Continuous time and nonparametric modelling of U.S. interest rate models, International Review of Financial Analysis, 12, 25, 10.1016/S1057-5219(02)00123-0 Nowman, 2005, Derivative prices from interest rate models: Results for Canada, Hong Kong, and United States, International Review of Financial Analysis, 14, 428, 10.1016/j.irfa.2004.10.010 Nowman, 2008, Euro and FIBOR interest rates: A continuous time modelling analysis, International Review of Financial Analysis, 17, 1029, 10.1016/j.irfa.2008.06.001 O'Sullivan, 2007, Parameter uncertainty in kalman filter estimation of the cir term structure model Realdon, 2009, “Extended black” term structure models, International Review of Financial Analysis, 18, 232, 10.1016/j.irfa.2009.09.004 Reschreiter, 2010, Inflation and the mean-reverting level of the short rate, The Manchester School, 78, 76, 10.1111/j.1467-9957.2009.02129.x Sun, 2005, Regime shifts in interest rate volatility, Journal of Empirical Finance, 12, 418, 10.1016/j.jempfin.2004.05.002 Treepongkaruna, 2006, Are there nonlinearities in short-term interest rates?, Accounting and Finance, 46, 149, 10.1111/j.1467-629X.2006.00151.x Tse, 1995, Some international evidence on the stochastic behaviour of interest rates, Journal of International Money and Finance, 14, 721, 10.1016/0261-5606(95)00030-I Vasicek, 1977, An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177, 10.1016/0304-405X(77)90016-2