The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

Stephen J. Brown, Philip H. Dybvig

Research output: Contribution to journalArticleResearchpeer-review

155 Citations (Scopus)

Abstract

The one‐factor version of the Cox, Ingersoll, and Ross model of the term structure is estimated using monthly quotes on U.S. Treasury issues trading from 1952 through 1983. Using data from a single yield curve, it is possible to estimate implied short and long term zero coupon rates and the implied variance of changes in short rates. Analysis of residuals points to a probable neglected tax effect. 1986 The American Finance Association

Original languageEnglish
Pages (from-to)617-630
Number of pages14
JournalThe Journal of Finance
Volume41
Issue number3
DOIs
Publication statusPublished - 1 Jan 1986

Cite this

@article{11f3146c9a2e4b18a41c6ade7e0cb0f1,
title = "The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates",
abstract = "The one‐factor version of the Cox, Ingersoll, and Ross model of the term structure is estimated using monthly quotes on U.S. Treasury issues trading from 1952 through 1983. Using data from a single yield curve, it is possible to estimate implied short and long term zero coupon rates and the implied variance of changes in short rates. Analysis of residuals points to a probable neglected tax effect. 1986 The American Finance Association",
author = "Brown, {Stephen J.} and Dybvig, {Philip H.}",
year = "1986",
month = "1",
day = "1",
doi = "10.1111/j.1540-6261.1986.tb04523.x",
language = "English",
volume = "41",
pages = "617--630",
journal = "Journal of Finance",
issn = "0022-1082",
publisher = "Wiley-Blackwell",
number = "3",

}

The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates. / Brown, Stephen J.; Dybvig, Philip H.

In: The Journal of Finance, Vol. 41, No. 3, 01.01.1986, p. 617-630.

Research output: Contribution to journalArticleResearchpeer-review

TY - JOUR

T1 - The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

AU - Brown, Stephen J.

AU - Dybvig, Philip H.

PY - 1986/1/1

Y1 - 1986/1/1

N2 - The one‐factor version of the Cox, Ingersoll, and Ross model of the term structure is estimated using monthly quotes on U.S. Treasury issues trading from 1952 through 1983. Using data from a single yield curve, it is possible to estimate implied short and long term zero coupon rates and the implied variance of changes in short rates. Analysis of residuals points to a probable neglected tax effect. 1986 The American Finance Association

AB - The one‐factor version of the Cox, Ingersoll, and Ross model of the term structure is estimated using monthly quotes on U.S. Treasury issues trading from 1952 through 1983. Using data from a single yield curve, it is possible to estimate implied short and long term zero coupon rates and the implied variance of changes in short rates. Analysis of residuals points to a probable neglected tax effect. 1986 The American Finance Association

UR - http://www.scopus.com/inward/record.url?scp=0344970549&partnerID=8YFLogxK

U2 - 10.1111/j.1540-6261.1986.tb04523.x

DO - 10.1111/j.1540-6261.1986.tb04523.x

M3 - Article

VL - 41

SP - 617

EP - 630

JO - Journal of Finance

JF - Journal of Finance

SN - 0022-1082

IS - 3

ER -