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Bayesian,MLE, and GMM Estimation of a Spot Rate Model |
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| Authors: | Xufeng Qian Rie Ashizawa Hiroki Tsurumi |
| Affiliation: | 1. Moody's Investors Service , New York, New York, USA xufeng.qian@moodys.com;3. Department of Economics , Rutgers University , New Brunswick, New Jersey, USA |
| Abstract: | ABSTRACT We develop Markov chain Monte Carlo algorithms for estimating the parameters of the short-term interest rate model. Using Monte Carlo experiments we compare the Bayes estimators with the maximum likelihood and generalized method of moments estimators. We estimate the model using the Japanese overnight call rate data. |
| Keywords: | Generalized method of moments Griddy Gibbs Japanese call rate Markov chain Monte Carlo algorithms Maximum likelihood estimator Monte Carlo experiments Volatility elasticity |