Gentile, Monica; Renò, Roberto - In: Economic Notes 34 (2005) 1, pp. 51-83
In recent years, diffusion models for interest rates became very popular. In this paper, we perform a selection of a suitable diffusion model for the Italian short rate. Our data set is given by the yields on 3-month BOT (Buoni Ordinari del Tesoro), from 1981 to 2001, for a total of 470...