Market price of risk

[mouna]

i want to estimate the market price of risk of the interest rate term structure for the vasicek(1979), Cox Ingersoll and Ross (1985) and CKLS (1992) models. Please can you help me.:prayer:

 

[tigergb]

by calibration to bond market price, market price of risk is incorporated into ur parameter value already.

 

[mouna]

by calibration to bond market price, market price of risk is incorporated into ur parameter value already.

first af all thanks for your reply.
but in my approach i will estimate the market price of risk l by minimizing the deviation of the implied yield curve from the average zero-coupon yield over the sample.