Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs

DOI10.1080/03610918.2020.1721540zbMath1497.91315arXiv1805.09996OpenAlexW3004406396MaRDI QIDQ5867418

Michele Leonardo Bianchi

Publication date: 14 September 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.09996

zbMATH Keywords

maximum likelihood estimationnonlinear optimizationKalman filterbond pricingCox-Ingersoll-Ross processesGaussian Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Uses Software

• System Identification Toolbox

Cites Work

• Unnamed Item
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• CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM
• An equilibrium characterization of the term structure
• Numerical Methods for Finance

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