Parameter Estimation for Treasury Notes
7 Pages Posted: 14 Mar 2008
Date Written: March, 11 2008
Abstract
In this work we apply the maximum likelihood method to find the parameter estimations for the Vasicek short term interest model. To run the experiment, the historical data of 10-year treasury notes from 1966 to 2006 are used. The unbiasedness and biasedness of the estimation are discussed.
Keywords: maximum likelihood, parameter estimation, interest rate, treasury notes
Suggested Citation: Suggested Citation
Xie, Dejun, Parameter Estimation for Treasury Notes (March, 11 2008). Available at SSRN: https://ssrn.com/abstract=1105108 or http://dx.doi.org/10.2139/ssrn.1105108
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