This artide tests the CIR model using the prices of Italian Treasury bonds in the secondary market. The artide examines the stability of parameters, the explanatory power of the resulting term structures, and the consistency of other variables with the model.

Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds / Barone, Emilio; Cuoco, D; Zautzik, E.. - In: THE JOURNAL OF FIXED INCOME. - ISSN 1059-8596. - 1:3(1991), pp. 87-95. [10.3905/jfi.1991.408028]

Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds

BARONE, EMILIO;
1991

Abstract

This artide tests the CIR model using the prices of Italian Treasury bonds in the secondary market. The artide examines the stability of parameters, the explanatory power of the resulting term structures, and the consistency of other variables with the model.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/168233
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