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Alternative Estimators of a Diffusion Model of the Term Structure of Interest Rates. A Monte Carlo Comparison

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Seminar on Stochastic Analysis, Random Fields and Applications

Part of the book series: Progress in Probability ((PRPR,volume 36))

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Abstract

We evaluate, through Monte Carlo experiments, the econometric performance of six alternative estimators of the basic parameters of the Cox—Ingersoll—Ross single-factor diffusion model of the term structure of interest rates. Different generating schemes are compared and the unobservability of the state-variable is taken into account. The effects of approximating interest rates, increasing frequency data and starting values are analyzed. A Monte Carlo evaluation of the effects on bond prices of biased parameter estimates is provided.

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Author information

Authors and Affiliations

  1. Dipartimento di Scienze Economiche, Università di Pisa, Italy

    Carlo Bianchi

  2. Banca d’Italia, Sede di Trieste, Italy

    Riccardo Cesari

  3. IBM-Semea, Italy

    Lorenzo Panattoni

Authors
  1. Carlo Bianchi
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  2. Riccardo Cesari
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  3. Lorenzo Panattoni
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Editor information

Editors and Affiliations

  1. Institut für Mathematik, Abteilung Angewandte Mathematik, Universität Zürich-Irchel, Winterthurerstr. 190, CH-8057, Zürich, Switzerland

    Erwin Bolthausen

  2. Département de Mathématiques, Université de Nancy 1, B.P. 239, F-54506, Vandoeuvre-Les-Nancy Cedex, France

    Marco Dozzi

  3. Département de Mathématiques Institut Galilée, Université Paris-Nord, Av. Jean-Baptiste Clément, F-93430, Villetaneuse, France

    Francesco Russo

  4. BIBOS, Universität Bielefeld, D-33615, Bielefeld 1, Germany

    Francesco Russo

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Bianchi, C., Cesari, R., Panattoni, L. (1995). Alternative Estimators of a Diffusion Model of the Term Structure of Interest Rates. A Monte Carlo Comparison. In: Bolthausen, E., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications. Progress in Probability, vol 36. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-7026-9_20

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  • DOI: https://doi.org/10.1007/978-3-0348-7026-9_20

  • Publisher Name: Birkhäuser, Basel

  • Print ISBN: 978-3-0348-7028-3

  • Online ISBN: 978-3-0348-7026-9

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