APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS

被引：19

作者：

Fergusson, K. ^{[1
]}

Platen, E. ^{[2
]}

机构：

[1] Curtin Univ, Kent St, Bentley, WA 6102, Australia

[2] Univ Technol Sydney, Broadway, NSW 2007, Australia

来源：

ANNALS OF FINANCIAL ECONOMICS | 2015年 / 10卷 / 02期

关键词：

Stochastic short rate; maximum likelihood estimation; Vasicek model; CoxIngersoll-Ross model; 3/2; model;

D O I：

10.1142/S2010495215500098

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页数：26

共 24 条

[1] A parametric nonlinear model of term structure dynamics [J].