Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates

Many financial products sensitive to daily rate changes dictate the importance of adequate modelling of short-term rates. Their intrinsic properties are investigated based on historical market data. A new short-term rate model with the non-Gaussian random driver and auto-correlation factors is introduced. Special calibration procedures for the model are presented.Short-term rate stochastic dynamics are investigated in several numerical experiments.

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Year of publication:	2003-05-15
Authors:	Yashkir, Olga ; Yashkir, Yuriy
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	overnight rate \| short-term rate \| rate model \| auto-correllation model \| overnight interest rate swap \| OIR \| OIS

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C20 - Econometric Methods: Single Equation Models. General ; c46 ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011111983