A theory of the term structure of interest rates

DOI10.2307/1911242zbMATH Open1274.91447OpenAlexW3021444882WikidataQ55952073 ScholiaQ55952073MaRDI QIDQ2856469FDOQ2856469

Authors: John C. Cox, Jonathan E. jun. Ingersoll, Stephen A. Ross 

Publication date: 29 October 2013

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/853c1f9b36a574432f112d72b473a68f377f410e

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zbMATH Keywords

CIR modelinterest ratesasset pricing model

Mathematics Subject Classification ID

General equilibrium theory (91B50) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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