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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Yashkir, Olga and Yashkir, Yuriy (2003): Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates. Published in: Quantitative Finance , Vol. 3, (15 May 2003): pp. 195-200.
Classification:	C20 - Econometric Methods: Single Equation Models. General ; c46 ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	BASE

Persistent link: https://www.econbiz.de/10015236758