Interest Rate Modelling
the case of one-factor CIR term structure model

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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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Bibliographic Details
Main Author:	kamboj, navjot
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Online Access:	https://eprints.nottingham.ac.uk/23312/

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