Silva, Allan Jonathan da; Baczynski, Jack - In: Economies : open access journal 12 (2024) 3, pp. 1-29
Interest rate dynamics are influenced by various economic factors, and central bank meetings play a crucial role … modified Skellam probability distribution to address the discrete nature of scheduled interest rate jumps and combine them with …. Within this class, we provide closed-form formulas for the characteristic functions of a still broad class of interest rate …