Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs (Q5867418)
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scientific article; zbMATH DE number 7584521
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| English | Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs |
scientific article; zbMATH DE number 7584521 |
Statements
Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs (English)
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14 September 2022
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Cox-Ingersoll-Ross processes
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Gaussian Ornstein-Uhlenbeck processes
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bond pricing
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Kalman filter
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maximum likelihood estimation
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nonlinear optimization
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0.7416604161262512
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0.7403006553649902
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0.7289097905158997
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0.7284572124481201
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