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

See all articles by Giuseppe Orlando

Giuseppe Orlando

University of Bari - Department of Economics and Mathematical Methods; Università degli Studi di Camerino - School of Science and Technologies

Rosa Maria Mininni

Dipartimento di Matematica - Università degli Studi di Bari Aldo Moro

Michele Bufalo

University of Rome I

Date Written: September 20, 2019

Abstract

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

Orlando, Giuseppe and Mininni, Rosa Maria and Bufalo, Michele, A New Approach to Forecast Market Interest Rates Through the CIR Model (September 20, 2019). '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. Available at SSRN: https://ssrn.com/abstract=3467268

Giuseppe Orlando (Contact Author)

University of Bari - Department of Economics and Mathematical Methods ( email )

Via C. Rosalba 53
VI Floor, Room 12
Bari, 70124
Italy
+39 080 5049218 (Phone)

Università degli Studi di Camerino - School of Science and Technologies ( email )

Via M. delle Carceri 9
Camerino, 62032
Italy

Rosa Maria Mininni

Dipartimento di Matematica - Università degli Studi di Bari Aldo Moro ( email )

Campus universitario - Via Orabona, 4
Bari, Bari 70125
Italy

Michele Bufalo

University of Rome I ( email )

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