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
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs |
scientific article; zbMATH DE number 7584521 |
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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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