search query: @author Lamoureux, C.G. / total: 4
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| Author: | Lamoureux, C.G. Witte, H.D. |
| Title: | Empirical analysis of the yield curve: the information in the data viewed through the window of Cox, Ingersoll, and Ross |
| Journal: | Journal of Finance
2002 : JUN, VOL. 57:3, p. 1479-1520 |
| Index terms: | BAYESIAN STATISTICS CROSS-SECTIONAL MODELS INFORMATION TIME SERIES |
| Language: | eng |
| 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. The authors examine the extent to which the cross-sectional data (five different instruments) provide information about the model. |
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