Lamoureux, Christopher G.; Witte, H. Douglas - In: Journal of Finance 57 (2002) 3, pp. 1479-1520
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...