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An Empirical Examination of the Cox, Ingersoll and Ross Model of the Term Structure of Interest Rates

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Author Info
Pearson, N.D.
Sun, T.S.

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Abstract

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Publisher Info
Paper provided by Columbia - Graduate School of Business in its series Papers with number fb-24.

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Length: 27 pages
Date of creation: 1991
Date of revision:
Handle: RePEc:fth:colubu:fb-24

Contact details of provider:
Postal: U.S.A.; COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF BUSINESS, PAINE WEBBER , New York, NY 10027 U.S.A
Phone: (212) 854-5553
Web page: http://www.columbia.edu/cu/business/
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Related research
Keywords: interest rate economic models capital market

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  1. Frank X. Zhang, 2003. "What did the credit market expect of Argentina default? Evidence from default swap data," Finance and Economics Discussion Series 2003-25, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Jun Liu & Francis A. Longstaff & Ravit E. Mandell, 2002. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," NBER Working Papers 8990, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. D. Duffie & D. Filipovic & W. Schachermayer, 2002. "Affine Processes and Application in Finance," NBER Technical Working Papers 0281, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Martin Evans, 1998. "Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?," Finance 9809001, EconWPA. [Downloadable!]
  5. Jun Liu & Francis Longstaff & Ravit Mandell, 2000. "The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads," University of California at Los Angeles, Anderson Graduate School of Management 1076, Anderson Graduate School of Management, UCLA. [Downloadable!]
  6. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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This page was last updated on 2008-9-21.

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