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

  • Author(s): STEPHEN J. BROWN, PHILIP H. DYBVIG
  • Published: Apr 30, 2012
  • Pages: 617-630
  • DOI: 10.1111/j.1540-6261.1986.tb04523.x

ABSTRACT

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.

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