Empirical analysis of the yield curve: The information in the data viewed through the window of Cox, Ingersoll, and Ross

• 成果类型: Article
• 署名作者: Lamoureux, CG; Witte, HD
• 署名单位: University of Arizona; University of Missouri System; University of Missouri Columbia
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00467
• 发表日期: 2002
• 页码: 1479-1520
• 关键词: term-structure; interest-rates; GIBBS SAMPLER; MODEL

摘要

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.