Gentile, Monica (contributor); Renò, Roberto (contributor) - 2002 - [Elektronische Ressource]
In the recent years, di usion models for interest rates became very popular. In this paper, we try to do a selection of a suitable diffusion 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...
