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A Binomial Basis for the Cox, Ingersoll and Ross Model of the Term Structure of Interest Rates

โœ Scribed by Huw Rhys; Mark Tippet

Book ID
108567906
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
143 KB
Volume
28
Category
Article
ISSN
0306-686X

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## Abstract We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic interpretation. Our model is able to accurately describe the joint dynamics for US macroeconomic variables and the yield cu