Title
Empirical Analysis of the Yield Curve: The Information in the Data Viewed through the Window of Cox, Ingersoll, and Ross
Abstract
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 instruments) provide information about the model. We find that the time‐series restrictions of the two‐factor model are generally consistent with the data. However, the model's cross‐sectional restrictions are not. We show that adding a third factor produces a significant statistical improvement, but causes the average time‐series fit to the yields themselves to deteriorate.
Document Type
Article
DOI
https://doi.org/10.1111/1540-6261.00467
Publication Date
2002
Recommended Citation
Lamoureux, Christopher G., and H. Douglas Witte. "Empirical analysis of the yield curve: The information in the data viewed through the window of cox, ingersoll, and ross." The Journal of Finance 57, no. 3 (2002): 1479-1520.
Journal Title
The Journal of Finance
