Overnight Index Rate: Model, Calibration, and Simulation

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. Calibration algorithm for the model is developed and investigated using the historical OIR data.

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Year of publication:	2013-06-12
Authors:	Yashkir, Yuriy ; Yashkir, Olga
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Overnight Index Rate \| Fat tailed distribution \| Calibration \| Interest Rate Simulation

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C02 - Mathematical Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011109257