Economics, Econometrics and Finance
4 years ago

Revolutionizing Interest Rate Models: Market Assessments Aligned with US Cash Rates

1 view
Research paper series
Application of Maximum Likelihood Estimation to Stochastic Short Rate Models
Kevin Fergusson, Eckhard Platen

Paper Summary

The article explores using maximum likelihood estimation for stochastic short rate models. Three key short rate models are analyzed: Vasicek, Cox-Ingersoll-Ross, and 3/2 models. The parameters of these models are fitted to US cash rates, showing they align with market assessments.

Related papers

Economics, Econometrics and Finance
8 years ago

New model predicts Japanese short-term interest rates with precision.

Option Pricing
Financial Volatility
Ageing Research
1 view
Economics, Econometrics and Finance
4 years ago

New method combines daily financial data for better economic predictions.

Macroeconomic Analysis
Monetary Models
Public Finance
Economics, Econometrics and Finance
4 years ago

Neural Networks Beat Traditional Models in Predicting Interest Rate Trends

Option Pricing
Macroeconomic Analysis
Financial Volatility
1 view