@inproceedings{256ee3e9216846ffba2594555189046d,
title = "Parameter estimation of parabolic type factor models and empirical study of US treasury bonds",
abstract = "In this paper we study the parameter estimation problem for stochastic distributed parameter systems by using the modified maximum likelihood method. More specifically, by using the US treasury bond data, the parameter estimation is performed for the stochastic hyperbolic and parabolic models describing the behavior of the term-structure of the US bond. From the prediction results, we can show that the parabolic factor models work better than the hyperbolic ones.",
keywords = "EWI-6114, METIS-238661, IR-85721, US bonds, Factor model, Maximum likelihood estimate, Stochastic Parabolic Equation, MLE",
author = "ShinIchi Aihara and Arunabha Bagchi",
note = "10.1007/0-387-33006-2_19 ; 22nd International Federation for Information Processing (IFIP) TC7 Conference, Turin, Italy ; Conference date: 18-07-2005 Through 22-07-2005",
year = "2006",
doi = "10.1007/0-387-33006-2_19",
language = "Undefined",
isbn = "0-387-32774-6",
series = "IFIP International Federation for Information Processing",
publisher = "Springer",
number = "199",
pages = "207--217",
editor = "F. Ceragioli and A. Dontchev and H. Futura and K. Marti and L. Pandolfi",
booktitle = "Proceedings of the 22nd IFIP TC7 Conference",
address = "Germany",
}