Logo
Munich Personal RePEc Archive

Overnight Index Rate: Model, Calibration, and Simulation

Yashkir, Yuriy and Yashkir, Olga (2013): Overnight Index Rate: Model, Calibration, and Simulation.

[img]
Preview
PDF
MPRA_paper_47574.pdf

Download (386kB) | Preview

Abstract

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

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.