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A direct test for mean variance efficiency of portfolio

Basak, Gopal; Jagannathan, Ravi; Sun, Guoqiang - In: Journal of economic dynamics & control 26 (2002) 7/8, pp. 1195-1215

Persistent link: https://www.econbiz.de/10001656077

An evaluation of multi-factor CIR models using LIBOR, swap rates, and CAP and swaption prices

Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve Guoqiang - 2001

Persistent link: https://www.econbiz.de/10001637620

An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices

Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve - In: Journal of econometrics 116 (2003) 1/2, pp. 113-146

Persistent link: https://www.econbiz.de/10001772145

An Evaluation of Multi-Factor Cir Models Using Libor, Swap Rates, and Cap and Swaption Prices

Kaplin, Andrew - 2010

We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and swaptions. With three factors the CIR model is able to fit the term structure of LIBOR and swap rates rather well. The model is able to match the hump shaped unconditional term...

Persistent link: https://www.econbiz.de/10012763074