Overnight Index Rate: Model, calibration and simulation

Autor:	Olga Yashkir, Yuri Yashkir
Jazyk:	angličtina
Rok vydání:	2014
Předmět:	Overnight Index Rate fat-tailed distribution autocorrelation calibration interest rate simulation stress testing Finance HG1-9999 Economic theory. Demography HB1-3840
Zdroj:	Cogent Economics & Finance, Vol 2, Iss 1 (2014)
Druh dokumentu:	article
ISSN:	2332-2039 23322039
DOI:	10.1080/23322039.2014.936955
Popis:	In this study, the extended Overnight Index Rate (OIR) model is presented. The fitting function for the probability distribution of the OIR daily returns is based on three different Gaussian distributions which provide modelling of the narrow central peak and the wide fat-tailed component. The calibration algorithm for the model is developed and investigated using the historical OIR data.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/d85389ecb5714e6c817e80cfb3c7f6a8 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF