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
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spelling 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
institution Open Polar
collection LUISS Guido Carli: IRIS (Libera Università Internazionale degli Studi Sociali, Roma)
op_collection_id 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
container_volume 1
container_issue 3
container_start_page 87
op_container_end_page 95
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