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
收藏
页码：57 / 60
页数：4
相关论文
共 50 条
  • [31] The stochastic string model as a unifying theory of the term structure of interest rates
    Bueno-Guerrero, Alberto
    Moreno, Manuel
    Navas, Javier F.
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2016, 461 : 217 - 237
  • [32] Information in the U.S. Treasury Term Structure of Interest Rates
    Brooks, Robert
    Cline, Brandon
    Enders, Walter
    FINANCIAL REVIEW, 2012, 47 (02) : 247 - 272
  • [33] Testing the expectations theory of the term structure of interest rates in threshold models
    Clements, MP
    Galvao, ABC
    MACROECONOMIC DYNAMICS, 2003, 7 (04) : 567 - 585
  • [34] No-arbitrage priors, drifting volatilities, and the term structure of interest rates
    Carriero, Andrea
    Clark, Todd E.
    Marcellino, Massimiliano
    JOURNAL OF APPLIED ECONOMETRICS, 2021, 36 (05) : 495 - 516
  • [35] Testing cointegration in quantile regressions with an application to the term structure of interest rates
    Kuriyama, Nina
    STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2016, 20 (02): : 107 - 121
  • [36] The term structure of interest rates and regime shifts: Some empirical results
    Kugler, P
    ECONOMICS LETTERS, 1996, 50 (01) : 121 - 126
  • [37] Research on Term Structure of Treasury Interest Rates Using a New Model
    He Jian-min
    He Qi-zhi
    Chen Shan-shan
    Xie Cui-hua
    Yang Gui-yuan
    2007 INTERNATIONAL CONFERENCE ON WIRELESS COMMUNICATIONS, NETWORKING AND MOBILE COMPUTING, VOLS 1-15, 2007, : 4097 - +
  • [38] Constrained smoothing B-splines for the term structure of interest rates
    Laurini, Marcio Poletti
    Moura, Marcelo
    INSURANCE MATHEMATICS & ECONOMICS, 2010, 46 (02): : 339 - 350
  • [39] Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates
    Bekiros, Stelios
    Avdoulas, Christos
    Hassapis, Christis
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2018, 55 : 140 - 155
  • [40] The Term Structure of Interest Rates in a Small Open Economy: A Stochastic Analysis
    Walter H. Fisher
    Open Economies Review, 2000, 11 : 261 - 278
12345