摘要
This paper presents a method for estimating multi-factor versions of the Cox-Ingersoll-Ross (1985b) model of the term structure of interest rates. The fixed parameters in one, two, and three factor models are estimated by applying an approximate maximum likelihood estimator in a state-space model using data for the U.S. treasury market. A nonlinear Kalman filter is used to estimate the unobservable factors. Multi-factor models are necessary to characterize the changing shape of the yield curve over time, and the statistical tests support the case for two and three factor models. A three factor model would be able to incorporate random variation in short term interest rates, long term rates, and interest rate volatility.
原文 | 英語 |
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頁(從 - 到) | 143-172 |
頁數 | 30 |
期刊 | Journal of Real Estate Finance and Economics |
卷 | 27 |
發行號 | 2 |
DOIs | |
出版狀態 | 已出版 - 09 2003 |
對外發佈 | 是 |