Stable distributions and the term structure of interest rates

被引：0

作者：

Dostoglou, SA ^{[1
]}

Rachev, ST

机构：

[1] Univ Missouri, Dept Math, Columbia, MO 65211 USA

[2] Univ Calif Santa Barbara, Dept Stat & Appl Probabil, Santa Barbara, CA 93106 USA

来源：

MATHEMATICAL AND COMPUTER MODELLING | 1999年 / 29卷 / 10-12期

关键词：

stable distributions; term structure; martingale measures; stable parameters; semi-martingales;

D O I：

10.1016/S0895-7177(99)00092-8

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In an abundance of cases asset returns fit stable distributions better than normal distributions. We examine a model where the term structure of interest rates follows a subordinate process directed by a stable process and indicate how to fix the parameters of the model. (C) 1999 Elsevier Science Ltd. All rights reserved.

引用

页码：57 / 60

页数：4

共 50 条

[1] The Term Structure of Interest Rates
Jarrow, Robert A.
ANNUAL REVIEW OF FINANCIAL ECONOMICS, 2009, 1 : 69 - 96
[2] On the geometry of the term structure of interest rates
Filipovic, D
Teichmann, J
PROCEEDINGS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES, 2004, 460 (2041): : 129 - 167
[3] TERM STRUCTURE OF INTEREST RATES IN CANADA
DOBELL, R
SARGENT, T
CANADIAN JOURNAL OF ECONOMICS, 1969, 2 (01): : 65 - 77
[4] The term structure of interest rates with housing
Vergara-Alert, Carles
JOURNAL OF BANKING & FINANCE, 2018, 94 : 221 - 234
[5] MODEL OF TERM STRUCTURE OF INTEREST RATES
BIERWAG, GO
GROVE, MA
REVIEW OF ECONOMICS AND STATISTICS, 1967, 49 (01) : 50 - 62
[6] Understanding the term structure of interest rates
Poole, W
FEDERAL RESERVE BANK OF ST LOUIS REVIEW, 2005, 87 (05): : 589 - 595
[7] THE TERM STRUCTURE OF INTEREST-RATES
MALKIEL, BG
AMERICAN ECONOMIC REVIEW, 1964, 54 (03): : 532 - 543
[8] The term structure of Russian interest rates
Anatolyev, S
Korepanov, S
APPLIED ECONOMICS LETTERS, 2003, 10 (13) : 867 - 870
[9] Determining the term structure of interest rates
Lapshin V.A.
Moscow University Computational Mathematics and Cybernetics, 2009, 33 (4) : 206 - 213
[10] MEASURING TERM STRUCTURE OF INTEREST RATES
MCCULLOCH, JH
JOURNAL OF BUSINESS, 1971, 44 (01): : 19 - 31

← 1 2 3 4 5 →