Maximum pseudo-Likelihood method is used to estimate the coefficient functions in the diffusion of Single-Factor Interest Rate Models.
本文用极大拟似然估计法估计了中国银行间市场七天拆借利率扩散模型的参数。
The marginal densities of single-factor interest rate models can be obtained by maximum likelihood estimation.
由极大似然估计可以得到单因子利率模型的边际密度函数。
The results show that all the single-factor models cannot match dynamic change of the short interest rate, and the CKLS model does the best among them.
实证结果表明所有的单因子短期利率模型都不能很好地描述中国上海证券交易所债券市场上的短期利率变化，CKLS模型是它们中表现最好的单因子利率模型。
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