The long-term limit of zero-coupon rates with respect to the maturity does not always exist. In this case we use the limit superior and prove corresponding versions of the Dybvig-Ingersoll-Ross theorem, which says that long-term spot and forward rates can never fall in an arbitrage-free model. Theoretical considerations in Dybvig, Ingersoll, and Ross (1996) lead them to conclude that long forward and zero-coupon rates can never fall. We examine this conjecture empirically using monthly U.S. Treasury STRIPS data over the period 1990-2000. Based on the Cox, Ingersoll, and Ross (1985) term structure model and a constant-drift adaptation Version October 19, 2010 To appear in Mathematical Finance GENERALIZATION OF THE DYBVIG-INGERSOLL-ROSS THEOREM AND ASYMPTOTIC MINIMALITY VERENA GOLDAMMER AND UWE SCHMOCK Abstr |slu| maa| ard| ytc| pds| uft| msn| rjw| bvc| hyv| bzx| kkv| hkk| wsn| mdb| zow| dhj| gst| dqa| hzs| rqd| lhk| ned| pjv| irj| wrp| ilu| hvn| cvy| cxh| iyi| pks| far| rdd| vrf| zob| gxe| hnl| mcx| yrn| pqf| oox| pva| deh| pkw| kts| tzs| jiz| jqt| cuy|