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Bianchi, 2022 - Google Patents

Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs

Bianchi, 2022

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Document ID
2083785282415475374
Author
Bianchi M
Publication year
Publication venue
Communications in Statistics-Simulation and Computation

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Snippet

In this paper, we empirically study models for pricing Italian sovereign bonds under a reduced form framework, by assuming different dynamics for the short-rate process. We analyze classical Cox-Ingersoll-Ross and Vasicek multi-factor models, with a focus on …
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