Economics, Econometrics and Finance
6 years ago

Maximum likelihood estimation reveals accurate US cash rate predictions for short rate models.

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International Journal of Theoretical and Applied Finance
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS
Kevin Fergusson, Eckhard Platen

Paper Summary

The researchers looked at how to use maximum likelihood estimation for short rate models. They focused on three common models and checked if they matched US cash rates. The models fit well with market data.

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