Part of the Studies in Classification, Data Analysis, and Knowledge Organization book series (STUDIES CLASS)
Approximation of Distributions of Treasury Bill Yields and Interbank Rates by Means of α-stable and Hyperbolic Distributions
In this paper α-stable and hyperbolic distributions are presented and proposed as alternatives to the normal distribution in approximation of treasury bill yields and interbank rates distributions.
KeywordsTerm Structure Model Interest Rate Model Hyperbolic Distribution Levy Process Interbank Rate
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