Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1994.tb02454.x/fullpdf
Reference30 articles.
1. A continuous time approach to the pricing of bonds;Brennan;Journal of Banking and Finance,1979
2. The empirical implications of the Cox, Ingersoll, Ross theory of the term structure of interest rates;Brown;Journal of Finance,1986
3. An empirical comparison of alternative models of the short-term interest rate;Chan;Journal of Finance,1992
4. The relation between forward prices and future prices;Cox;Journal of Financial Economics,1981
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