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Original Articles

Assessing Italian Government bonds’ term structure with CIR model in the aftermath of EMU

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Pages 163-170 | Published online: 21 Apr 2008

References

  • Barone , E , Cuoco , D and Zautzik , E . 1989 . The term structure of interest rates: a test of the Cox Ingersoll and Ross model on Italian Treasury bonds, Temi di Discussione del Servizio Studi No. 128, Banca d’Italia
  • Barone , E , Cuoco , D and Zautzik , E . 1991 . Term structure using the Cox, Ingersoll and Ross model: the case of Italian Treasury bonds . Journal of Fixed Income , 1 : 87 – 95 .
  • Berndt , E , Hall , B , Hall , R and Hausman , J . 1974 . Estimation and inference in non-linear structural models . Annals of Economic and Social Measurement , 3 : 635 – 65 .
  • Cox , JC , Ingersoll , JE and Ross , SA . 1985a . An inter-temporal general equilibrium model of asset prices . Econometrica , 53 : 363 – 84 .
  • Cox , JC , Ingersoll , JE and Ross , SA . 1985b . A theory of the term structure of interest rates . Econometrica , 53 : 385 – 407 .
  • Maggi , B , Ginebri , S and Turco , M . 2005 . The automatic reaction of the Italian budget balance to fundamentals: an econometric estimate . Applied Economics , 1 : 67 – 91 .
  • Masera , RS . 1972 . The Term Structure of Interest Rates Oxford University Press, Oxford
  • Torosantucci , L , Uboldi , A and Bernaschi , M . 2007 . Empirical evaluation of the market price of the risk using the CIR model . Physica A (Econophysics) , 376 : 543 – 54 .

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