A New Approach to Forecast Market Interest Rates Through the CIR Model
'A New Approach to Forecast Market Interest Rates Through the CIR Model', with R.M. Mininni and M. Bufalo - Studies in Economics and Finance, Emerald Publishing, 20 Sept. 2019, DOI: 10.1108/SEF-03-2019-0116
Posted: 20 Oct 2019
Date Written: September 20, 2019
The purpose of this study is to suggest a new framework that we call the CIR#, which allows forecasting interest rates from observed financial market data even when rates are negative. In doing so, we have the objective is to maintain the market volatility structure as well as the analytical tractability of the original CIR model.
Keywords: Interest rates forecasting, CIR model, Volatility clustering, ARIMA models, Numerical simulation
JEL Classification: G12, E43, E47 2010, MSC: 91G30, 91B84, 91G60, 91G70, 62M101
Suggested Citation: Suggested Citation