Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147720
Authors: 
Yashkir, Olga
Yashkir, Yuri
Year of Publication: 
2014
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 2 [Year:] 2014 [Issue:] 1 [Pages:] 2-11
Abstract: 
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.
Subjects: 
Overnight Index Rate
fat-tailed distribution
autocorrelation
calibration
interest rate simulation
stress testing
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.