APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS
- Publication Type:
- Journal Article
- Annals of Financial Economics, 2015, 10 (02)
- Issue Date:
|2015_Fergusson_Platen_AFE_Application MLE.finalpdf.pdf||Published Version||551.07 kB|
Copyright Clearance Process
- Recently Added
- In Progress
- Closed Access
This item is closed access and not available.
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.
Please use this identifier to cite or link to this item: