The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

STEPHEN J. BROWN; PHILIP H. DYBVIG

doi:10.1111/j.1540-6261.1986.tb04523.x

The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

STEPHEN J. BROWN
, PHILIP H. DYBVIG

Research output: Contribution to journal › Article › peer-review

177 Scopus citations

Abstract

The one‐factor version of the Cox, Ingersoll, and Ross model of the term structure is estimated using monthly quotes on U.S. Treasury issues trading from 1952 through 1983. Using data from a single yield curve, it is possible to estimate implied short and long term zero coupon rates and the implied variance of changes in short rates. Analysis of residuals points to a probable neglected tax effect. 1986 The American Finance Association

Original language	English
Pages (from-to)	617-630
Number of pages	14
Journal	The Journal of Finance
Volume	41
Issue number	3
DOIs	https://doi.org/10.1111/j.1540-6261.1986.tb04523.x
State	Published - Jul 1986

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abstract = "The one‐factor version of the Cox, Ingersoll, and Ross model of the term structure is estimated using monthly quotes on U.S. Treasury issues trading from 1952 through 1983. Using data from a single yield curve, it is possible to estimate implied short and long term zero coupon rates and the implied variance of changes in short rates. Analysis of residuals points to a probable neglected tax effect. 1986 The American Finance Association",

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The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

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