Cox–Ingersoll–Ross model (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Cox–Ingersoll–Ross model" in English language version.

refsWebsite

Global rank English rank

10doi.org

2^nd place

7worldcat.org

5^th place

5semanticscholar.org

11^th place

8^th place

2wiley.com

222^nd place

297^th place

2arxiv.org

69^th place

59^th place

1econometricsociety.org

low place

1vilniustech.lt

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1handle.net

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76^th place

arxiv.org

Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (July 2020). "Forecasting interest rates through Vasicek and CIR models: A partitioning approach". Journal of Forecasting. 39 (4): 569–579. arXiv:1901.02246. doi:10.1002/for.2642. ISSN 0277-6693. S2CID 126507446.
Di Francesco, Marco; Kamm, Kevin (4 October 2021). "How to handle negative interest rates in a CIR framework". SeMa Journal. 79 (4): 593–618. arXiv:2106.03716. doi:10.1007/s40324-021-00267-w. S2CID 235358123.

doi.org

Maghsoodi, Yoosef (January 1996). "Solution of the Extended Cir Term Structure and Bond Option Valuation". Mathematical Finance. 6 (1): 89–109. doi:10.1111/j.1467-9965.1996.tb00113.x. ISSN 0960-1627.
Brigo, Damiano; Mercurio, Fabio (2001-07-01). "A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models". Finance and Stochastics. 5 (3): 369–387. doi:10.1007/PL00013541. ISSN 0949-2984. S2CID 35316609.
Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (2018). "A New Approach to CIR Short-Term Rates Modelling". New Methods in Fixed Income Modeling. Contributions to Management Science. Springer International Publishing. pp. 35–43. doi:10.1007/978-3-319-95285-7_2. ISBN 978-3-319-95284-0.
Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (1 January 2019). "A new approach to forecast market interest rates through the CIR model". Studies in Economics and Finance. 37 (2): 267–292. doi:10.1108/SEF-03-2019-0116. ISSN 1086-7376. S2CID 204424299.
Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (19 August 2019). "Interest rates calibration with a CIR model". The Journal of Risk Finance. 20 (4): 370–387. doi:10.1108/JRF-05-2019-0080. ISSN 1526-5943. S2CID 204435499.
Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (July 2020). "Forecasting interest rates through Vasicek and CIR models: A partitioning approach". Journal of Forecasting. 39 (4): 569–579. arXiv:1901.02246. doi:10.1002/for.2642. ISSN 0277-6693. S2CID 126507446.
Orlando, Giuseppe; Bufalo, Michele (2021-05-26). "Interest rates forecasting: Between Hull and White and the CIR#—How to make a single-factor model work". Journal of Forecasting. 40 (8): 1566–1580. doi:10.1002/for.2783. ISSN 0277-6693.
Orlando, Giuseppe; Bufalo, Michele (2023-07-14). "Time series forecasting with the CIR# model: from hectic markets sentiments to regular seasonal tourism". Technological and Economic Development of Economy. 29 (4): 1216–1238. doi:10.3846/tede.2023.19294. ISSN 2029-4921.
Di Francesco, Marco; Kamm, Kevin (4 October 2021). "How to handle negative interest rates in a CIR framework". SeMa Journal. 79 (4): 593–618. arXiv:2106.03716. doi:10.1007/s40324-021-00267-w. S2CID 235358123.
Di Francesco, Marco; Kamm, Kevin (2022). "On the Deterministic-Shift Extended CIR Model in a Negative Interest Rate Framework". International Journal of Financial Studies. 10 (2): 38. doi:10.3390/ijfs10020038. hdl:11585/916048.

econometricsociety.org

"A Theory of the Term Structure of Interest Rates - The Econometric Society". www.econometricsociety.org. Retrieved 2023-10-14.

handle.net

hdl.handle.net

Di Francesco, Marco; Kamm, Kevin (2022). "On the Deterministic-Shift Extended CIR Model in a Negative Interest Rate Framework". International Journal of Financial Studies. 10 (2): 38. doi:10.3390/ijfs10020038. hdl:11585/916048.

semanticscholar.org

api.semanticscholar.org

Brigo, Damiano; Mercurio, Fabio (2001-07-01). "A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models". Finance and Stochastics. 5 (3): 369–387. doi:10.1007/PL00013541. ISSN 0949-2984. S2CID 35316609.
Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (1 January 2019). "A new approach to forecast market interest rates through the CIR model". Studies in Economics and Finance. 37 (2): 267–292. doi:10.1108/SEF-03-2019-0116. ISSN 1086-7376. S2CID 204424299.
Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (19 August 2019). "Interest rates calibration with a CIR model". The Journal of Risk Finance. 20 (4): 370–387. doi:10.1108/JRF-05-2019-0080. ISSN 1526-5943. S2CID 204435499.
Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (July 2020). "Forecasting interest rates through Vasicek and CIR models: A partitioning approach". Journal of Forecasting. 39 (4): 569–579. arXiv:1901.02246. doi:10.1002/for.2642. ISSN 0277-6693. S2CID 126507446.
Di Francesco, Marco; Kamm, Kevin (4 October 2021). "How to handle negative interest rates in a CIR framework". SeMa Journal. 79 (4): 593–618. arXiv:2106.03716. doi:10.1007/s40324-021-00267-w. S2CID 235358123.

vilniustech.lt

journals.vilniustech.lt

Orlando, Giuseppe; Bufalo, Michele (2023-07-14). "Time series forecasting with the CIR# model: from hectic markets sentiments to regular seasonal tourism". Technological and Economic Development of Economy. 29 (4): 1216–1238. doi:10.3846/tede.2023.19294. ISSN 2029-4921.

wiley.com

onlinelibrary.wiley.com

Maghsoodi, Yoosef (January 1996). "Solution of the Extended Cir Term Structure and Bond Option Valuation". Mathematical Finance. 6 (1): 89–109. doi:10.1111/j.1467-9965.1996.tb00113.x. ISSN 0960-1627.
Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (July 2020). "Forecasting interest rates through Vasicek and CIR models: A partitioning approach". Journal of Forecasting. 39 (4): 569–579. arXiv:1901.02246. doi:10.1002/for.2642. ISSN 0277-6693. S2CID 126507446.

worldcat.org

search.worldcat.org

Maghsoodi, Yoosef (January 1996). "Solution of the Extended Cir Term Structure and Bond Option Valuation". Mathematical Finance. 6 (1): 89–109. doi:10.1111/j.1467-9965.1996.tb00113.x. ISSN 0960-1627.
Brigo, Damiano; Mercurio, Fabio (2001-07-01). "A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models". Finance and Stochastics. 5 (3): 369–387. doi:10.1007/PL00013541. ISSN 0949-2984. S2CID 35316609.
Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (1 January 2019). "A new approach to forecast market interest rates through the CIR model". Studies in Economics and Finance. 37 (2): 267–292. doi:10.1108/SEF-03-2019-0116. ISSN 1086-7376. S2CID 204424299.
Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (19 August 2019). "Interest rates calibration with a CIR model". The Journal of Risk Finance. 20 (4): 370–387. doi:10.1108/JRF-05-2019-0080. ISSN 1526-5943. S2CID 204435499.
Orlando, Giuseppe; Mininni, Rosa Maria; Bufalo, Michele (July 2020). "Forecasting interest rates through Vasicek and CIR models: A partitioning approach". Journal of Forecasting. 39 (4): 569–579. arXiv:1901.02246. doi:10.1002/for.2642. ISSN 0277-6693. S2CID 126507446.
Orlando, Giuseppe; Bufalo, Michele (2021-05-26). "Interest rates forecasting: Between Hull and White and the CIR#—How to make a single-factor model work". Journal of Forecasting. 40 (8): 1566–1580. doi:10.1002/for.2783. ISSN 0277-6693.
Orlando, Giuseppe; Bufalo, Michele (2023-07-14). "Time series forecasting with the CIR# model: from hectic markets sentiments to regular seasonal tourism". Technological and Economic Development of Economy. 29 (4): 1216–1238. doi:10.3846/tede.2023.19294. ISSN 2029-4921.