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Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model
Abstract
We propose an empirical method that utilizes the conditional density of the state variables to estimate and test a term structure model with known price formulae, using data on both discount and coupon bonds. The method is applied to an extension of a two‐factor model due to Cox, Ingersoll, and Ross (1985; CIR). Our results show that estimates based on only bills imply unreasonably large price errors for longer maturities. We reject the original CIR model using a likelihood ratio test, and conclude that the extended CIR model also fails to provide a good description of the Treasury market.
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Cites
Handbook of Mathematical Functions
McQuarrie, D. A. (1966) · American Journal of Physics · doi:10.1119/1.1972842 · Cited by 40,433
Cited by
Prospect Theory and Asset Prices
Barberis, N., Huang, M., & Santos, T. (2001) · The Quarterly Journal of Economics · doi:10.1162/003355301556310 · Cited by 1,895
Option Prices, Implied Price Processes, and Stochastic Volatility
Britten‐Jones, M., & Neuberger, A. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00228 · Cited by 937
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Ang, A., & Piazzesi, M. (1999) · SSRN Electronic Journal · doi:10.2139/ssrn.194748 · Cited by 543
A New Perspective on Gaussian Dynamic Term Structure Models
Joslin, S., Singleton, K. J., & Zhu, H. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhq128 · Cited by 543
Metadata
- Authors
- PEARSON, N. D., & SUN, T.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1994-09
- Volume
- 49
- Issue
- 4
- Pages
- 1279-1304
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W1965846457
- Cited by
- 394
- References
- 1
- FWCI
- 25.76
- Type
- journal article
- Language
- en
- Open access
- closed
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- PEARSON, N. D., & SUN, T. (1994). Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1994.tb02454.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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