Construct · 1 fields · 1 citations

Cox-Ingersoll-Ross model: a standalone construct

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Finance

general equilibrium term structure model with a mean-reverting short rate whose volatility rises with the square root of the rate, keeping rates nonnegative.

In finance, Cox-Ingersoll-Ross model refers to general equilibrium term structure model with a mean-reverting short rate whose volatility rises with the square root of the rate, keeping rates nonnegative. This meaning comes from Cox (1985) in Econometrica.[1]

Unit
Recovery means
Measured by

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Nearby constructs

equilibrium4 fields · 4 citationsjingle · one word, four constructs model3 fields · 3 citationsjingle · one word, three constructs root3 fields · 5 citationsjingle · one word, three constructs

References

Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2), 385. https://doi.org/10.2307/1911242

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