Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds
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.
Published in: | The Journal of Fixed Income |
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Main Authors: | , , |
Other Authors: | , , |
Format: | Article in Journal/Newspaper |
Language: | English |
Published: |
1991
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Subjects: | |
Online Access: | http://hdl.handle.net/11385/168233 https://doi.org/10.3905/jfi.1991.408028 |
Summary: | 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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