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	Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices
	Zou, Tao ; Chen, Song Xi
	2017
关键词	Affine term structure Bond prices Combined estimation Interest rate models Market price of risk Parameter estimation MAXIMUM-LIKELIHOOD-ESTIMATION TERM STRUCTURE MODELS AFFINE MODELS ROSS MODEL INGERSOLL COX SPECIFICATION
英文摘要	We consider improving estimating parameters of diffusion processes for interest rates by incorporating information in bond prices. This is designed to improve the estimation of the drift parameters, which are known to be subject to large estimation errors. It is shown that having the bond prices together with the short rates leads to more efficient estimation of all parameters for the interest rate models. It enhances the estimation efficiency of the maximum likelihood estimation based on the interest rate dynamics alone. The combined estimation based on the bond prices and the interest rate dynamics can also provide inference to the risk premium parameter. Simulation experiments were conducted to confirm the theoretical properties of the estimators concerned. We analyze the overnight Fed fund rates together with the U.S. Treasury bond prices. Supplementary materials for this article are available online.; Natural Science Foundation of China [11131002, 71371016]; National Key Basic Research Program of China [2015CB856000]; SCI(E); SSCI; ARTICLE; 3; 486-498; 35
语种	英语
出处	SCI
出版者	JOURNAL OF BUSINESS & ECONOMIC STATISTICS
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/469454]
专题	数学科学学院
推荐引用方式 GB/T 7714	Zou, Tao,Chen, Song Xi. Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices. 2017-01-01.

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