An empirical comparison of interest rates using an interest rate model and nonparametric methods
Applied Economics Letters, cilt.10, sa.10, ss.643-645, 2003 (Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 10 Sayı: 10
- Basım Tarihi: 2003
- Doi Numarası: 10.1080/1350485032000133318
- Dergi Adı: Applied Economics Letters
- Derginin Tarandığı İndeksler: Scopus
- Sayfa Sayıları: ss.643-645
- Boğaziçi Üniversitesi Adresli: Evet
Özet
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 (Applied Financial Economics, 13, 169-76, 2003).