# Gaussian estimation of continuous time diffusions of UK interest rates

Nowman, K.B. 2011. Gaussian estimation of continuous time diffusions of UK interest rates. Mathematics and Computers in Simulation. 81 (8), pp. 1618-1624. https://doi.org/10.1016/j.matcom.2010.12.001

Title Gaussian estimation of continuous time diffusions of UK interest rates Nowman, K.B. 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 models indicate that there is a relationship between the level of rates and the volatility of rates across the maturities. In addition, there is some evidence of feedback effects. Mathematics and Computers in Simulation 81 (8), pp. 1618-1624 0378-4754 Apr 2011 Elsevier https://doi.org/10.1016/j.matcom.2010.12.001 Apr 2011

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