抄録
In this paper we consider the parameter identification problem for the Parabolic type factor model by using the US treasury bond data. First interpolating the yield data, we can estimate the covariance kernel of the system noise. With the aid of this estimate, the modified maximum likelihood estimates of the unknown parameters are obtained for the hyperbolic and parabolic models. Finally, comparing the obtained results, we can show that the parabolic factor model works well.
