关于Dybvig-Ingersoll-Ross定理
On the Dybvig-Ingersoll-Ross Theorem
摘要：
戴比格-英格索尔-罗斯（Dybvig-Ingersoll-Ross）定理指出，在无套利的期限结构模型中，长期收益率和远期利率永远不会下降。我们提出了一个改进的版本，在那里我们确定的倒数的到期日的最大顺序，长期利率在较早的日期可以主导长期利率在较晚的日期。施加在市场模型的可行性假设是弱于以前出现在文献中。
英文摘要：
The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure models, long-term yields and forward rates can never fall. We present a refined version of the DIR theorem, where we identify the reciprocal of the maturity date as the maximal order that long-term rates at earlier dates can dominate long-term rates at later dates. The viability assumption imposed on the market model is weaker than those appearing previously in the literature.
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