@article{JRC35019,
	address = {Amsterdam (The Netherlands)},
	year = {2007},
	author = {Uboldi A and Bernaschi M and Torosantucci L},
	abstract = {We describe a simple but effective method for the estimation of the
		market price of risk. The basic idea is to compare the results obtained by
		following two different approaches in the application of the Cox-Ingersoll-
		Ross (CIR) model. In the ¯rst case, we apply the non-linear least squares
		method to cross sectional data (i.e. all rates of a single day). In the second
		case, we consider the short rate obtained by means of the ¯rst procedure
		as a proxy of the real market short rate. Starting from this new proxy,
		we evaluate the parameters of the CIR model by means of martingale
		estimation techniques. The estimate of the market price of risk is provided
		by comparing results obtained with these techniques, since this 2approach
		makes possible to isolate the market price of risk and evaluate, under the
		Local Expectations Hypothesis, the risk premium given by the market for
		different maturities. As a test case, we apply the method to data of the
		European Fixed Income Market.
		
		
		
		
		
		
		
		
		
		
		
		
		},
	title = {Empirical Evaluation of the Market Price of Risk using the CIR Model},
	type = {},
	url = {},
	volume = {376},
	number = {},
	journal = {PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS},
	pages = {543-554},
	issn = {},
	publisher = {ELSEVIER SCIENCE BV},
	doi = {10.1016/j.physa.2006.10.072}