An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices

A-Tier
Journal: Journal of Econometrics
Year: 2003
Volume: 116
Issue: 1-2
Pages: 113-146

Authors (3)

Jagannathan, Ravi (Northwestern University) Kaplin, Andrew (not in RePEc) Sun, Steve (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Technical Details

RePEc Handle
repec:eee:econom:v:116:y:2003:i:1-2:p:113-146
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25