Parameter Estimation for Treasury Notes

Xie, Dejun

doi:10.2139/ssrn.1105108

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Parameter Estimation for Treasury Notes

7 Pages Posted: 14 Mar 2008

See all articles by Dejun Xie

Dejun Xie

University of Delaware

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