Title of article
Consistent fitting of one-factor models to interest rate data
Author/Authors
Rogers، نويسنده , , L.C.G. and Stummer، نويسنده , , Wolfgang، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
19
From page
45
To page
63
Abstract
We describe a full maximum-likelihood fitting method of the popular single-factor Vasicek and Cox–Ingersoll–Ross models and carry this out for term-structure data from the UK and US. This method contrasts with the usual practice of performing a day-by-day fit. We also compare the results with some more crude econometric analyses on the same data sets.
Keywords
Term structure of interest rates , Cox–Ingersoll–Ross model , Vasicek model
Journal title
Insurance Mathematics and Economics
Serial Year
2000
Journal title
Insurance Mathematics and Economics
Record number
1542303
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