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Multi-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model

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References

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1988

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The information in forward rates

264 cited

1999Kalman Filtering of Generalized Vasicek Term Structure Models259 cited

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2010Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates34 cited
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2007The determinants of corporate bond yields32 cited
2006The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application31 cited
2016Valuing catastrophe bonds involving correlation and CIR interest rate model29 cited
2004What Drives Credit Risk in Emerging Markets? The Role of Country Fundamentals and Market Co-Movements29 cited
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