Inferenza statistica per il modello CIR multifattoriale: un’ analisi del mercato delle Eurolire

S. Pastorello
Cox, Ingersoll and Ross (1985) is one of the best known models of the term structure of interest rates. In this article I show how to exploit its exponential affine structure to restate the model in state space form, and how to estimate the parameters using the Kalman filter. The statistical properties of this approach are not known, since the model is not gaussian in the transition equation. However, it is known that in this...