On the Dybvig-Ingersoll-Ross Theorem
The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure models, long-term yields and forward rates can never fall. We present a refined version of the DIR theorem, where we identify the reciprocal of the maturity date as the maximal order that long-term rates at earlier dates can dominate long-term rates at later dates. The viability assumption imposed on the market model is weaker than those appearing previously in the literature.
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- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.
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"Long Forward and Zero-Coupon Rates Can Never Fall,"
The Journal of Business,
University of Chicago Press, vol. 69(1), pages 1-25, January.
- Jonathan E. Ingersoll Jr. & Philip H. Dybvig & Stephen A. Ross, 1998. "Long Forward and Zero-Coupon Rates Can Never Fall," Yale School of Management Working Papers ysm45, Yale School of Management.
- Klaas Schulze, 2008. "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers bgse11_2008, University of Bonn, Germany. Full references (including those not matched with items on IDEAS)
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