Consistent fitting of one-factor models to interest rate data

Authors
Rogers, LCG Stummer, W
Citation
Lcg. Rogers et W. Stummer, Consistent fitting of one-factor models to interest rate data, INSUR MATH, 27(1), 2000, pp. 45-63
Citations number
78
Categorie Soggetti
Economics
Journal title
INSURANCE MATHEMATICS & ECONOMICS
ISSN journal
01676687 → ACNP
Volume
27
Issue
1
Year of publication
2000
Pages
45 - 63
Database
ISI
SICI code
0167-6687(20000821)27:1<45:CFOOMT>2.0.ZU;2-S
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-st ructure data from the UK and US. This method contrasts with the usual pract ice of performing a day-by-day fit. We also compare the results with some m ore crude econometric analyses on the same data sets. (C) 2000 Elsevier Sci ence B.V. All rights reserved.