Empirical Analysis of the Yield Curve: The Information in the Data Viewed through the Window of Cox, Ingersoll, and Ross
This paper uses recent advances in Bayesian estimation methods to exploit fully and efficiently the time-series and cross-sectional empirical restrictions of the Cox, Ingersoll, and Ross model of the term structure. We examine the extent to which the cross-sectional data (five different instruments) provide information about the model. We find that the time-series restrictions of the two-factor model are generally consistent with the data. However, the model's cross-sectional restrictions are not. We show that adding a third factor produces a significant statistical improvement, but causes the average time-series fit to the yields themselves to deteriorate. Copyright The American Finance Association 2002.
Year of publication: |
2002
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Authors: | Lamoureux, Christopher G. ; Witte, H. Douglas |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 57.2002, 3, p. 1479-1520
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Publisher: |
American Finance Association - AFA |
Saved in:
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