Mean reversion and volatility of short-term London Interbank Offer Rates

Testing for the Box–Cox parameter for an integrated process

“…Even Chan et al (1992) reported a t-statistic of 1.54 for  , which is not statistically significant at any conventional level, assuming the asymptotic normality of the t-ratio for  . Adkins and Krehbiel (1999) found that neither the 3-month nor 6-month LIBOR (London Inter-Bank Offered Rate) was mean reverting. Treepongkaruna and Gray (2003) reported that the 4 mean reversion of daily short-term interest rate data was not statistically significant at the 5 percent level in any of the eight countries they examined.…”

On Non-Existence of a One Factor Interest Rate Model for Volatility Averaged Generalized Fong-Vasicek Term Structures

“…Let us note that their result is not universal, e.g. in [1], using the same estimation methodology but for LIBOR rates, γ was estimated to be less than unity (which means that volatility is less than proportional to short rate, unlike in the result due to Chan, Karolyi, Longstaff and Sanders). Approximate formulae for bond prices when the short rate follows (1.6) has been developed recently by [4] and [10].…”

“…φ(t) = ȧ(t)/(a(t)B(t)). Then, (2.11) and so the right hand side is constant with respect to t. Hence for any t it equals φ(T ) + 1 2 Ω 2 (r)B(T ) = φ(T ), which is a constant denoted by K. We have…”

Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models

“…One approach in the literature is to use time series data and examples include Chan, Karolyi, Longstaff, and Sanders (1992), Tse (1995), Hiraki and Takezawa (1997), Brenner, Harjes, and Kroner (1996), Dahlquist (1996), Adkins and Krehbiel (1999), Nowman (1997Nowman ( , 2006, Episcopos (2000), Fernandez (2001), Bali (2000Bali ( , 2003, Nowman and Saltoğlu (2003), Nowman and Sorwar (2005), Sun (2005), Bali and Wu (2006), Faff and Gray (2006), Treepongkaruna and Gray (2006), Czellar, Karolyi, and Ronchetti (2007), Nowman and Yahia (2008), Christiansen (2008), Hong, Lin, and Wang (2010) and Reschreiter (2010). Another approach uses panel data and the Kalman Filtering methods and examples include Jegadeesh and Pennacchi (1996), Geyer and Pichler (1999), Duan and Simonato (1999), De Jong (2000), Chen and Scott (2003), Chatterjee (2004), Driessen, Melenberg, and Nijman (2005), O'Sullivan (2007), and Date and Wang (2009).…”