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

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Year of publication:	2014
Authors:	Yashkir, Olga ; Yashkir, Yuri
Published in:	Cogent Economics & Finance. - Abingdon : Taylor & Francis, ISSN 2332-2039. - Vol. 2.2014, 1, p. 2-11
Publisher:	Abingdon : Taylor & Francis
Subject:	Overnight Index Rate \| fat-tailed distribution \| autocorrelation \| calibration \| interest rate simulation \| stress testing

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.1080/23322039.2014.936955 [DOI] 820018686 [GVK] hdl:10419/147720 [Handle] RePEc:taf:oaefxx:DOI:10.1080/23322039.2014.936955 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011559125