Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates

Olga Yashkir and Yuriy Yashkir

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: overnight rate; short-term rate; rate model; auto-correllation model; overnight interest rate swap; OIR; OIS (search for similar items in EconPapers)
JEL-codes: C20 C46 C61 (search for similar items in EconPapers)
Date: 2003-05-15
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:46391

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