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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Language: | English |
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1991
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Online Access: | http://hdl.handle.net/11385/168233 https://doi.org/10.3905/jfi.1991.408028 |
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ftluissiris:oai:iris.luiss.it:11385/168233 2024-01-28T10:04:22+01:00 Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds BARONE, EMILIO CUOCO D ZAUTZIK E. Barone, Emilio Cuoco, D Zautzik, E. 1991 http://hdl.handle.net/11385/168233 https://doi.org/10.3905/jfi.1991.408028 eng eng volume:1 issue:3 firstpage:87 lastpage:95 numberofpages:9 journal:THE JOURNAL OF FIXED INCOME http://hdl.handle.net/11385/168233 doi:10.3905/jfi.1991.408028 https://doi.org/10.3905/jfi.1991.408028 info:eu-repo/semantics/article 1991 ftluissiris https://doi.org/10.3905/jfi.1991.408028 2024-01-03T17:39:24Z 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. Article in Journal/Newspaper Artide LUISS Guido Carli: IRIS (Libera Università Internazionale degli Studi Sociali, Roma) The Journal of Fixed Income 1 3 87 95 |
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Open Polar |
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LUISS Guido Carli: IRIS (Libera Università Internazionale degli Studi Sociali, Roma) |
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ftluissiris |
language |
English |
description |
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. |
author2 |
Barone, Emilio Cuoco, D Zautzik, E. |
format |
Article in Journal/Newspaper |
author |
BARONE, EMILIO CUOCO D ZAUTZIK E. |
spellingShingle |
BARONE, EMILIO CUOCO D ZAUTZIK E. Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds |
author_facet |
BARONE, EMILIO CUOCO D ZAUTZIK E. |
author_sort |
BARONE, EMILIO |
title |
Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds |
title_short |
Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds |
title_full |
Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds |
title_fullStr |
Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds |
title_full_unstemmed |
Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian Treasury Bonds |
title_sort |
term structure estimation using the cox, ingersoll, and ross model: the case of italian treasury bonds |
publishDate |
1991 |
url |
http://hdl.handle.net/11385/168233 https://doi.org/10.3905/jfi.1991.408028 |
genre |
Artide |
genre_facet |
Artide |
op_relation |
volume:1 issue:3 firstpage:87 lastpage:95 numberofpages:9 journal:THE JOURNAL OF FIXED INCOME http://hdl.handle.net/11385/168233 doi:10.3905/jfi.1991.408028 https://doi.org/10.3905/jfi.1991.408028 |
op_doi |
https://doi.org/10.3905/jfi.1991.408028 |
container_title |
The Journal of Fixed Income |
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1 |
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3 |
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87 |
op_container_end_page |
95 |
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1789330026551836672 |