Gentile, Monica; Renò, Roberto - Laboratory of Economics and Management (LEM), Scuola … - 2002
In the recent years, di usion models for interest rates became very pop- ular. In this paper, we try to do a selection of a suitable di usion model for the Italian interest rates. Our data set is given by the yields on three-month BOT, from 1981 to 2001, for a total of 470 observations. We...
