TY - JOUR
T1 - Empirical analysis of the yield curve
T2 - The information in the data viewed through the window of Cox, Ingersoll, and Ross
AU - Lamoureux, Christopher G.
AU - Witte, H. Douglas
PY - 2002/6
Y1 - 2002/6
N2 - 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.
AB - 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.
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U2 - 10.1111/1540-6261.00467
DO - 10.1111/1540-6261.00467
M3 - Article
AN - SCOPUS:0043172332
VL - 57
SP - 1479
EP - 1520
JO - Journal of Finance
JF - Journal of Finance
SN - 0022-1082
IS - 3
ER -