Pearson, Neil D; Sun, Tong-Sheng - In: Journal of Finance 49 (1994) 4, pp. 1279-1304
The authors propose an empirical method that utilizes the conditional density of the state variables to estimate and test a term structure model with known price formulae using data on both discount and coupon bonds. The method is applied to an extension of a two-factor model due to J. C. Cox,...