Bhar, Ram; Chiarella, Carl; To, Thuy-Duong - EconWPA - 2004
volatilities for the instantaneous forward rate. The bias that arises from using observed futures yields as a proxy for the … unobserved instantaneous forward rate is analyzed. The fact that futures contracts can be viewed as derivative instruments on the … forward rate is used to determine the likelihood function for futures prices. The likelihood transformation method of Duan …