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A Test of the Cox, Ingersoll, and Ross Model of the Term Structure

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References

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1986The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates

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291 cited

1984Optimal bond trading with personal taxes265 cited

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1996Unit roots and the estimation of interest rate dynamics101 cited
1992Real and Nominal Interest Rates: A Discrete-Time Model and Its Continuous-Time Limit101 cited
1995Testing for continuous-time models of the short-term interest rate99 cited
1996Estimating the Term Structure of Interest Rates for Monetary Policy Analysis96 cited
1998Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities85 cited
2010Pricing the term structure of inflation risk premia: Theory and evidence from TIPS84 cited
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