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Can we use Kladivko's source code to calibrate CIR parameters daily?

Asked by macintosh

macintosh (view profile)

on 5 Apr 2014

Right now I'm working on underlying univariate AR(1) model based on CIR to forecast yield curve in the future. But I guess I need CIR parameters for EACH day. So I'm trying to get cross-sectional estimate of CIR parameters. Can I use Kladivko's source code in "maximum likelihood estimation: matlab implementation" to get these parameters?

Thankyou so much for your help.



macintosh (view profile)


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