Rosa Maria Mininni
- A new approach to forecast market interest rates through the CIR model
2019/09/20 by Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo · 3 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Monetary Policy and Economic Impact #Autoregressive integrated moving average #Interest rate #Econometrics #Volatility (finance) #Autoregressive model #Brownian motion #Mathematics #Variance (accounting) #Market data #Cox–Ingersoll–Ross model #Economics #Statistics #Time series #Finance
- A New Approach to CIR Short-Term Rates Modelling
2018/01/01 by Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo · 3 citations
Economics, Econometrics and Finance · Mathematics · #Computer science #Cox–Ingersoll–Ross model #Credit Risk and Financial Regulations #Econometrics #Economics #Financial Risk and Volatility Modeling #Interest rate #Mathematics #Physics #Short rate #Short-rate model #Statistics #Stochastic processes and financial applications #Term (time) #Volatility (finance) #Yield curve
- Interest rates calibration with a CIR model
2019/08/19 by Giuseppe Orlando, Rosa Maria Mininni, Michele Bufalo · 2 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Monetary Policy and Economic Impact #Financial Risk and Volatility Modeling #Vasicek model #Interest rate #Cox–Ingersoll–Ross model #Econometrics #Yield curve #Calibration #Market data #Monte Carlo method #Computer science #Economics #Statistics #Mathematics #Finance
- Forecasting interest rates through Vasicek and CIR models: A partitioning approach
2019/01/08 by Giuseppe Orlando, Orlando, Giuseppe, Rosa Maria Mininni +3 · 1 citation
Economics, Econometrics and Finance · #Artificial intelligence #Autoregressive conditional heteroskedasticity #Cluster analysis #Computer science #Econometrics #Economics #Finance #Financial Risk and Volatility Modeling #Interest rate #Maturity (psychological) #Monetary Policy and Economic Impact #Novelty #Stochastic processes and financial applications #Vasicek model #Volatility (finance) #Volatility clustering