Joint Cross‐Section/Time‐Series Maximum Likelihood Estimation for the Parameters of the Cox‐Ingersoll‐Ross Bond Pricing Model

JOURNAL ARTICLE published May 1993 in Financial Review

Authors: Phillip R. Daves | Michael C. Ehrhardt

European Option Under Cox-Ingersoll-Ross Model for Stochastic Interest Rate

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Shankar Subramaniam

A Test of the Cox, Ingersoll, and Ross Model of the Term Structure

JOURNAL ARTICLE published July 1993 in Review of Financial Studies

Authors: Michael R. Gibbons | Krishna Ramaswamy

Irreversible Investment with Cox-Ingersoll-Ross Type Mean Reversion

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Christian-Oliver Ewald | Wen-Kai Wang

Valuation of Indonesian catastrophic earthquake bonds with generalized extreme value (GEV) distribution and Cox-Ingersoll-Ross (CIR) interest rate model

PROCEEDINGS ARTICLE published 2015 in AIP Conference Proceedings

Authors: Ezra Putranda Setiawan

Drift of the Cox-Ingersoll-Ross Model Under Time-Varying Mean-Reversion

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Shankar Subramaniam

Regular Perturbation Approach to Nonsteady Drift of the Cox-Ingersoll-Ross Model

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Shankar Subramaniam

Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox–Ingersoll–Ross model

JOURNAL ARTICLE published August 2017 in Applied Numerical Mathematics

Authors: A.S. Fatemion Aghda | Seyed Mohammad Hosseini | Mahdieh Tahmasebi

The relation between forward prices and futures prices

JOURNAL ARTICLE published December 1981 in Journal of Financial Economics

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

Embedding the Vasicek model into the Cox-Ingersoll-Ross model

JOURNAL ARTICLE published 30 January 2011 in Mathematical Methods in the Applied Sciences

Authors: W. Sinkala | P. G. L. Leach | J. G. O'Hara

Categorical Forecasting

OTHER published 27 December 2010 in Forecasting in Financial and Sports Gambling Markets

Closed-form formulas for conditional moments of generalized cox-ingersoll-ross processes

DISSERTATION published

Authors: Phiraphat Sutthimat

Estimation for the Discretely Observed Cox–Ingersoll–Ross Model Driven by Small Symmetrical Stable Noises

JOURNAL ARTICLE published 25 February 2020 in Symmetry

Research funded by the National Natural Science Foundation of China (61403248;U1604157)

Authors: Chao Wei

Estimation in the Cox-Ingersoll-Ross Model

JOURNAL ARTICLE published June 1997 in Econometric Theory

Authors: Ludger Overbeck | Tobias Rydén

Empirically Confronting Stochastic Singularity: An Application to the Cox, Ingersoll, and Ross Model

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Kenneth Roskelley | Chris Lamoureux

From Transience to Recurrence for Cox–Ingersoll–Ross Model When b < 0

JOURNAL ARTICLE published 30 October 2023 in Mathematics

Research funded by National Science Foundation of China (11501325)

Authors: Mingli Zhang | Gaofeng Zong

The Cox–Ingersoll–Ross Model

BOOK CHAPTER published 2019 in Yield Curves and Forward Curves for Diffusion Models of Short Rates

Authors: Gennady A. Medvedev

Wiener chaos and the Cox–Ingersoll–Ross model

JOURNAL ARTICLE published 8 February 2005 in Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

Authors: M. R. Grasselli | T. R. Hurd

Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model

JOURNAL ARTICLE published 2 July 2024 in Communications in Statistics - Theory and Methods

Authors: Oksana Chernova | Olena Dehtiar | Yuliya Mishura | Kostiantyn Ralchenko

ADI FD schemes for the numerical solution of the three-dimensional Heston–Cox–Ingersoll–Ross PDE

PROCEEDINGS ARTICLE published 2012 in AIP Conference Proceedings

Authors: Tinne Haentjens