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Overnight Index Rate: Model, Calibration, and Simulation

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  • Yashkir, Yuriy
  • Yashkir, Olga
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    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.

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    File URL: http://mpra.ub.uni-muenchen.de/47574/
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    Bibliographic Info

    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 47574.

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    Date of creation: 12 Jun 2013
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    Handle: RePEc:pra:mprapa:47574

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    Related research

    Keywords: Overnight Index Rate; Fat tailed distribution; Calibration; Interest Rate Simulation;

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    1. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
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