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

Christopher G Lamoureux, H. Douglas Witte

Research output: Contribution to journalArticle

17 Citations (Scopus)

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.

Original languageEnglish (US)
Pages (from-to)1479-1520
Number of pages42
JournalJournal of Finance
Volume57
Issue number3
StatePublished - Jun 2002

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Empirical analysis
Yield curve
Cross-sectional data
Factors
Bayesian estimation
Term structure

ASJC Scopus subject areas

  • Accounting
  • Economics and Econometrics
  • Finance

Cite this

Empirical analysis of the yield curve : The information in the data viewed through the window of Cox, Ingersoll, and Ross. / Lamoureux, Christopher G; Douglas Witte, H.

In: Journal of Finance, Vol. 57, No. 3, 06.2002, p. 1479-1520.

Research output: Contribution to journalArticle

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