Bayraci, Selcuk and UNAL, GAZANFER (2010): Continuous time modeling of interest rates: An empirical study on the Turkish short rate.

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Abstract
We proposed a continuous time ARMA known as CARMA(p,q) model for modeling the interest rate dynamics. CARMA(p,q) models have an advantage over their discrete time counterparts that they allow using Ito formulas and provide closedform solutions for bond and bond option prices. We demonstrate the capabilities of CARMA(p,q) models by using Turkish short rate. The Turkish Republic Central Bank’s benchmark bond prices are used to calculate shortterm interest rates between the period of 15.07.2006 and 15.07.2008. ARMA(1,1) model and CARMA(1,0) model are chosen as best suitable models in modeling the Turkish short rate.
Item Type:  MPRA Paper 

Original Title:  Continuous time modeling of interest rates: An empirical study on the Turkish short rate 
Language:  English 
Keywords:  Interest rate modeling; Continuoustime ARMA (CARMA)process; Lévy process 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics 
Item ID:  28091 
Depositing User:  Selcuk Bayraci 
Date Deposited:  18. Jan 2011 15:17 
Last Modified:  12. Mar 2015 00:57 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/28091 