Author: | Nowman, K.B. |
Title: | The volatility of Japanese interest rates: evidence for Certificate of Deposit and Gensaki rates |
Journal: | International Review of Financial Analysis
2002 : VOL. 11:1, p. 29-38 |
Index terms: | INTEREST RATES TERM STRUCTURE OF INTEREST RATES VOLATILITY JAPAN |
Language: | eng |
Abstract: | In this paper, the authors apply the recently introduced Gaussian estimation methodology in the estimation of a range of one factor short-term interest rate models on Japanese Certificate of Deposit (DC) and Gensaki interest rates. |
SCIMA