Rolling-window calibration of the Vasicek short-rate model on Italian 3M interbank rates (2000–2025), testing how parameters change across interest-rate regimes.
A deep exploration of Recursive Least Squares: theoretical foundations, practical applications with copper and monetary datasets, structural break analysis, and comparisons with alternative time-varying parameter methodologies.
Test the d-invariance hypothesis of the fixed-width fractional differencing operator across VIX-based volatility segmentation using a leakage-controlled research pipeline; methodology is public, proprietary information and raw data are excluded.
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