Sökning: "Gusten Lindkvister"

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  1. 1. The Fallacy of The Cox, Ingersoll & Ross Model. An empirical study on US bond data

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Gusten Lindkvister; Philip Swärd; [2017-07-26]
    Nyckelord :Term-structure; CIR; interest rates; bonds; US Treasury Notes;

    Sammanfattning : This paper examines the performance of the original one-factor Cox, Ingersoll & Ross model during a contemporary dataset using an OLS procedure. The model is fundamental for many nancial models used for investment decisions, it is therefore important to validate its performance during current market conditions characterized by low interest rates. LÄS MER