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Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates

✍ Scribed by K. B. NOWMAN

Book ID: 114758717
Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 657 KB
Volume: 52
Category: Article
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.1997.tb01127.x

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## Abstract We consider a new approach for estimating the coefficients of the term structure equation in two‐factor models. This approach is based on the fact that the risk‐neutral drifts of the factors are directly estimated. Therefore, the market prices of risk and the physical drifts do not have