This paper estimates stochastic differential equation models for the interest rate dynamics of the United Kingdom bond market using Gaussian estimation econometric methods and monthly data over the period 1970–2010 using a range of maturities. Gaussian estimates of single and two equation...

In this note we extend the Gaussian estimation of two factor CKLS and CIR models recently considered in Nowman, K. B. (2001, Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom, Asia Pacif. Financ. Markets <Emphasis Type="Bold">8, 23–34) to...</emphasis>

To enhance the efficiency of regression parameter estimation by modeling the correlation structure of correlated binary error terms in quantile regression with repeated measurements, we propose a Gaussian pseudolikelihood approach for estimating correlation parameters and selecting the most...

The shape of drift function in continuous time interest rate models has beeninvestigated by many authors during the past decade. The main concerns have beenwhether the drift function is linear or nonlinear, but no convincing conclusions havebeen seen. In this dissertation, we investigate the...