Title(题名):  Enhancing Estimation for Interest Rate Diffusion Modeis With Bond Prices
Authors(作者):  Tao Zou and Song Xi Chen
Source title(刊名):  Journal of Business &Economic Statistics:A Publication of the American Statistical Association
Volume, Issue, Issue date
Pages(页码):  p486-498
ISSN:  0735-0015
Abstract(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.
Key words(关键词):  Affine term structure; Bond prices; Combined estimation; Interest rate models; Market price of risk; Parameter estimation.
Where(馆藏地):  304外文报刊阅览室
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