Singh, M. K. (1995) Estimation of Multifactor Cox, Ingersoll and Ross Term Structure Model: Evidence on Volatility Structure and Parameter Stability, Journal of Fixed Income, Vol. 6, pp. 8-28.  Home/Search   Document Not in Database   Summary   Related Articles

....model, and the implied short rate volatility is in agreement with the time series estimates. The other model parameters are highly unstable over time, however, and their estimated values from cross sections of prices do not conform with the time series properties of the state variables. Similarly, Singh (1995) examines the behaviour of monthly time series of zero coupon yields for fourteen maturities ranging from one month to thirty years under the three factor version of the CIR model. Specifically, Singh examines the parameter stability of the volatility and all other implied parameters. He discovers ....

....period as in sections 2 and 3. One has to note that our conclusions are not based on a long history of data and that our conclusions are rather tentative. Furthermore, the choice of the relevant period for parameter estimation is extremely important in determining the usefulness of the model (Singh 1995, p. 36 24) The hedging test is an important criteria on the basis of which one can assess the superiority of one model with respect to another. The results presented in this study have important implications for pricing forward contracts. In particular, we show that models that reflect the ....

Singh, M. K. (1995) Estimation of Multifactor Cox, Ingersoll and Ross Term Structure Model: Evidence on Volatility Structure and Parameter Stability, Journal of Fixed Income, Vol. 6, pp. 8-28.

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