Gibbons, Michael R; Ramaswamy, Krishna - In: Review of Financial Studies 6 (1993) 3, pp. 619-58
We test the theory of the term structure of indexed-bond prices due to Cox, Ingersoll, and Ross (CIR). The econometric method uses Hansen's generalized method of moments and exploits the probability distribution of the single-state variable in CIR's model, thus avoiding the use of aggregate...