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This paper demonstrates the application of Bayesian simulation-based estimation to a class of interest rate models known as Affine Term Structure (ATS) models. The technique used is based on a Markov Chain Monte Carlo algorithm, with the discrete observations on yields augmented by additional higher frequency latent data. The introduction of augmented yield data reduces the bias associated with estimating a continuous time model using discretely observed data. The technique is demonstrateddoi:10.4225/03/5938e6ae76356 fatcat:ir4cnwt3wbe4znnymc7y74aykm