errors, which arise from the estimation of the yield curve from noisy data. The estimates are implemented with daily CRSP …

estimators. The latter retains the good asymptotic properties of ML estimation while removing finite sample bias. This method …

reversion parameter of the associated interest rate diffusion equation. This parameter is well known to be subject to estimation … bias when standard methods like maximum likelihood (ML) are used. The estimation bias can be substantial even in very large … error. Our findings indicate that bias correction in estimation of the drift can be more important in pricing bond options …

these asymptotics are relevant include instrumental variable (IV) estimation with many (possibly weak) instruments and some …