Application of maximum likelihood estimation to stochastic short rate models
MetadataShow full item record
The application of maximum likelihood estimation is not well studied for stochastic short rate models because of the cumbersome detail of this approach. We investigate the applicability of maximum likelihood estimation to stochastic short rate models. We restrict our consideration to three important short rate models, namely the Vasicek, Cox–Ingersoll–Ross (CIR) and 3/2 short rate models, each having a closed-form formula for the transition density function. The parameters of the three interest rate models are fitted to US cash rates and are found to be consistent with market assessments.
Showing items related by title, author, creator and subject.
Filippini, M.; Greene, William (2016)© 2015, Springer Science+Business Media New York.The productive efficiency of a firm can be seen as composed of two parts, one persistent and one transient. The received empirical literature on the measurement of productive ...
Parsons, Miles James Gerard (2009)Techniques of single- and multi-beam active acoustics and the passive recording of fish vocalisations were employed to evaluate the benefits and limitations of each technique as a method for assessing and monitoring fish ...
Chan, Felix; Mcaleer, M.; Marinova, Dora (2007)The purpose in registering patents is to protect the intellectual property of the rightful owners. Deterministic and stochastic trends in registered patents can be used to describe a country's technological capabilities ...