Interest Rate Modelling the case of one-factor CIR term structure model
We emphasise on one of the first general equilibrium single-factor Cox-Ingersoll-Ross (1985b) term structure model. Using weekly quotes for the period 1962-2006 of 3-Year constant maturity U.S. treasury bills, we investigate the robustness of the CIR model in depicting the evolution of interest rate...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/23312/ |