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.

Bibliographic Details
Published in:The Journal of Fixed Income
Main Authors: BARONE, EMILIO, CUOCO D, ZAUTZIK E.
Other Authors: Barone, Emilio, Cuoco, D, Zautzik, E.
Format: Article in Journal/Newspaper
Language:English
Published: 1991
Subjects:
Artide
Online Access:http://hdl.handle.net/11385/168233
https://doi.org/10.3905/jfi.1991.408028
Description
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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