On the dybvig-ingersoll-ross theorem

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Journal Article
Mathematical Finance, 2012, 22 (4), pp. 729 - 740
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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. © 2011 Wiley Periodicals, Inc.
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