Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian
Treasury Bonds IRIS IRIS Home Sfoglia Macrotipologie & tipologie Autore Titolo Riviste Serie IT …

This paper tests the Cox, Ingersoll and Ross model using the prices of Italian Treasury bonds
in the secondary market. The model is estimated daily for the period 30 December 1983 to …

… The author has very much benefited of exchange of ideas with Daniel Gros and Emerico
Zautzik and is very grateful to Erika Somma for her precious help in data elaboration. …

… Cosma Onorio Gelsomino and Emerico Antonio Zautzik encouraged us first to carry out and
then complete the research. We are especially indebted to Gerardo Palazzo, who helped us …

This Manual offers guidelines for the presentation of monetary and financial statistics. It
provides a set of tools for identifying, classifying, and recording stocks and flows of financial …

The financial crises of the 1990s exposed weaknesses in the international financial system,
highlighting the fact that globalization brings risks as well as important benefits. In response, …

This paper estimates real term structures from cross-sections of British government index-linked
(‘realrd) bond prices. The Cox, Ingersoll, and Ross (1985) model is then fitted to the …

There is much in our Commencement ceremony to remind us of the past-the Marshal's mace,
our medieval robes and caps, and even the interior of this beautiful Theatre. We are also …

This paper examines the performance of the original one-factor Cox, Ingersoll & Ross model
during a contemporary dataset using an OLS procedure. The model is fundamental for …

The basic problem in estimating the interest rate term structure, what means that prices of
coupon bonds have to be used. It is, however, well-known that the actuarial return of the bond …