Economics at your fingertips  

Assessing Italian Government bonds' term structure with CIR model in the aftermath of EMU

Bernardo Maggi and Fabrizio Infortuna

Applied Financial Economics Letters, 2008, vol. 4, issue 3, 163-170

Abstract: 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.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Applied Financial Economics Letters is currently edited by Mark Taylor

More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2019-03-31
Handle: RePEc:taf:apfelt:v:4:y:2008:i:3:p:163-170