HOW DOES THE EURODOLLAR INTEREST RATE BEHAVE?

Tiziana Di Matteo () and Tomaso Aste ()
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Tiziana Di Matteo: INFM-Dipartimento di Fisica, Università degli Studi di Salerno, 84081 Baronissi (Salerno), Italy
Tomaso Aste: INFM-Dipartimento di Fisica, Università di Genova, via Dodecaneso 33, 16146 Genova, Italy;

International Journal of Theoretical and Applied Finance (IJTAF), 2002, vol. 05, issue 01, 107-122

Abstract: An empirical analysis on Eurodollar interest rates daily data in the time period 1990–1996, is performed and compared with Libor data in the time period 1984–1998. The complementary cumulative distributions for the daily fluctuations at different maturity dates and the Power Spectral Density are computed. We find that the probability distribution shows "fat" tails with non-Gaussian behaviours. Moreover, we study the correlations among Eurodollar interest rates fluctuations with different maturity dates. By using an original clustering linkage, we show how the collective motion of the interest rates curve can be analyzed in sub-groups of maturity dates with similar behaviours.

Keywords: Interest rate; fat tail; clustering (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (10)

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DOI: 10.1142/S021902490200133X

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