New answers tagged modelling
"Calibrating the model to them via regression"... Vasicek has just three parameters: $\sigma$ (vol), $r_L$ (long rate) and $a$ (mean reversion) and a time-dependent short rate $r_0$. Can you specify what you are thinking of in terms of a regression model to estimate these? Obviously $r_0$ will not be a stable parameter. If you want to estimate $\sigma$, ...
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