Driffill, John; Kenc, Turalay; Sola, Martin; Spagnolo, Fabio - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 1, pp. 1490-1490
We examine several discrete-time versions of the Cox, Ingersoll and Ross (CIR) model for the term structure, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that careful consideration of which parameters of the short-term interest rate equation that are...