The Term Structure of Interest Rates: A Test of the Cox, Ingersoll and Ross Model on Italian Treasury Bonds

27 Pages Posted: 5 Mar 2004

See all articles by Emilio Barone

Emilio Barone

Luiss - Guido Carli (Dpt. of Economics and Finance)

Domenico Cuoco

University of Pennsylvania - Finance Department

Emerico Zautzik

Bank of Italy

Date Written: October 1989

Abstract

This paper tests the Cox, Ingersoll and Ross model using the prices of Italian Treasury bonds in the secondary market. The model is estimated daily for the period 30 December 1983 to 13 March 1989. The resulting term structures of interest rates are compared with those obtained using interpolation techniques (the cubic splines method). The daily estimation of the yield curves also makes it possible to analyze the changes in Treasury bond prices, determine the turning points and obtain useful indications regarding the efficiency of the secondary market and the consistency between the primary and the secondary markets.

Suggested Citation

Barone, Emilio and Cuoco, Domenico and Zautzik, Emerico, The Term Structure of Interest Rates: A Test of the Cox, Ingersoll and Ross Model on Italian Treasury Bonds (October 1989). Available at SSRN: https://ssrn.com/abstract=512504 or http://dx.doi.org/10.2139/ssrn.512504

Emilio Barone (Contact Author)

Luiss - Guido Carli (Dpt. of Economics and Finance) ( email )

Viale Romania, 32
Rome, 00197
Italy

HOME PAGE: http://docenti.luiss.it/barone/

Domenico Cuoco

University of Pennsylvania - Finance Department ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States

Emerico Zautzik

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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