An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices

Ravi Jagannathan, Andrew Kaplin and Steve Sun

Journal of Econometrics, 2003, vol. 116, issue 1-2, 113-146

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4076(03)00105-2
Full text for ScienceDirect subscribers only

Related works:
Working Paper: An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:116:y:2003:i:1-2:p:113-146

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().