English, Article edition: Assessing Italian Government bonds' term structure with CIR model in the aftermath of EMU Bernardo Maggi; Fabrizio Infortuna

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Bookmark: http://trove.nla.gov.au/version/50837
Physical Description
  • article
Language
  • English

Edition details

Title
  • Assessing Italian Government bonds' term structure with CIR model in the aftermath of EMU
Author
  • Bernardo Maggi
  • Fabrizio Infortuna
Physical Description
  • article
Notes
  • In this article we analyse the term structure of the Italian Government bonds after the adoption of Euro currency. In such a framework, we make use of the CIR model and deal with the degree of different volatilities of the maturities considered. To cope with this problem, we propose a simple correction formula and make use of a reaction function to take into account the influence of the monetary policy of the ECB with the result of considerably improving the performance of the model.
  • RePEc:taf:apfelt:v:4:y:2008:i:3:p:163-170
Language
  • English
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