Abstract
In this paper we estimate one and two factor models of the term structure of interest rates using Australian and Canadian panel data from the yield curve. We use Kalman filtering econometrics to estimate the parameters of the model and our empirical results indicate that the two factor model provides a good description of the Australian and Canadian money market yield curves.
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References
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© 1998 Springer Science+Business Media Dordrecht
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Babbs, S.H., Nowman, K.B. (1998). Empirical Analysis of the Australian and Canadian Money Market Yield Curves: Results Using Panel Data. In: Refenes, AP.N., Burgess, A.N., Moody, J.E. (eds) Decision Technologies for Computational Finance. Advances in Computational Management Science, vol 2. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5625-1_22
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DOI: https://doi.org/10.1007/978-1-4615-5625-1_22
Publisher Name: Springer, Boston, MA
Print ISBN: 978-0-7923-8309-3
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