The term structure of real interest rates and the Cox, Ingersoll, and Ross model

Author:

Brown Roger H.,Schaefer Stephen M.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference27 articles.

1. The gilt edged market since Big Bang;Bank of England;Bank of England Quarterly Bulletin,1989

2. The BZW equity-gilt study 1992;de Zoete Wedd,1992

3. Term structure estimation using the Cox, Ingersoll, and Ross model: The case of Italian Treasury bonds;Barone;Journal of Fixed Income,1991

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. The determinants of the return on index bonds;Brenner;Journal of Banking and Finance,1978

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