English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

In this paper, we empirically study models for pricing Italian sovereignbonds under a reduced form framework, by assuming different dynamics for theshort-rate process. We analyze classical Cox-Ingersoll-Ross and Vasicekmulti-factor models, with a focus on optimization algorithms applied in thecalibration exercise. The Kalman filter algorithm together with a maximumlikelihood estimation method are considered to fit the Italian term-structureover a 12-year horizon, including the global financial crisis and the euro areasovereign debt crisis. Analytic formulas for the gradient vector and theHessian matrix of the likelihood function are provided.

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