Chen, Ren-Raw; Scott, Louis - In: The Journal of Real Estate Finance and Economics 27 (2003) 2, pp. 143-72
This paper presents a method for estimating multi-factor versions of the Cox-Ingersoll-Ross (1985b) model of the term structure of interest rates. The fixed parameters in one, two, and three factor models are estimated by applying an approximate maximum likelihood estimator in a state-space...