Both authors are from Yale University. We wish to acknowledge the helpful comments of Jon Ingersoll, Terry Marsh, Steve Ross and workshop participants at Princeton University. All errors are our own.
The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates
Article first published online: 30 APR 2012
1986 The American Finance Association
The Journal of Finance
Volume 41, Issue 3, pages 617–630, July 1986
How to Cite
BROWN, S. J. and DYBVIG, P. H. (1986), The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates. The Journal of Finance, 41: 617–630. doi: 10.1111/j.1540-6261.1986.tb04523.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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.