Enhancing estimation for interest rate diffusion models with bond prices

Tao Zou, Song Xi Chen

Year of publication:	July 2017
Authors:	Zou, Tao ; Chen, Song Xi
Published in:	Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 35.2017, 3, p. 486-498
Subject:	Affine term structure \| Bond prices \| Combined estimation \| Interest rate models \| Market price of risk \| Parameter estimation \| Zinsstruktur \| Yield curve \| Anleihe \| Bond \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| CAPM \| Risikoprämie \| Risk premium \| Zins \| Interest rate \| Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility

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