Similar Search Results

Which model for the Italian interest rates?

Gentile, Monica; Renò, Roberto - 2002

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...

Persistent link: https://www.econbiz.de/10010328402

Arbitrary initial term structure within the CIR model : a perturbative solution

Mari, Carlo; Renò, Roberto - In: Applied mathematical finance 13 (2006) 2, pp. 143-153

Persistent link: https://www.econbiz.de/10003331421

Threshold estimation of Markov models with jumps and interest rate modeling

Mancini, Cecilia; Renò, Roberto - In: Journal of econometrics 160 (2011) 1, pp. 77-92

Persistent link: https://www.econbiz.de/10009242541

Specification analysis of diffusion models for the Italian short rate

Gentile, Monica; Renò, Roberto; Batten, Jonathan A. - In: Economic notes : economic review of Banca Monte dei … 34 (2005) 1, pp. 51-83

Persistent link: https://www.econbiz.de/10002984488

On the presence of unspanned volatility in European interest rate options

Renò, Roberto; Uboldi, Adamo - In: Applied financial economics letters 1 (2005) 1, pp. 15-18

Persistent link: https://www.econbiz.de/10002550020

Which model for the Italian interest rates?

Gentile, Monica (contributor); Renò, Roberto (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001690346

Arbitrary initial term structure within the CIR model : a perturbative solution

Mari, Carlo; Renò, Roberto - 2003

Persistent link: https://www.econbiz.de/10001763605