The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates
用1952至1983年美国国债月度数据估计单因子Cox-Ingersoll-Ross模型，从单一收益率曲线推断隐含短期和长期零息利率及短期利率变化方差，残差分析提示可能忽略了税收效应。
ABSTRACT The one‐factor version of the Cox, Ingersoll, and Ross model of the term structure is estimated using monthly quotes on U.S. Treasury issues trading from 1952 through 1983. Using data from a single yield curve, it is possible to estimate implied short and long term zero coupon rates and the implied variance of changes in short rates. Analysis of residuals points to a probable neglected tax effect.