Economics, Econometrics and Finance
8 years ago

Revolutionizing Interest Rate Models: US Cash Rates Reflect Market Assessments

RePEc: Research Papers in Economics
Application of Maximum Likelihood Estimation to Stochastic Short Rate Models
Kevin Fergusson, Eckhard Platen

Paper Summary

The article explores using maximum likelihood estimation for short rate models. Three common models were tested using US cash rates, and the parameters were found to match market expectations.

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