Stable distributions and the term structure of interest rates

S. A. Dostoglou; S. T. Rachev

doi:10.1016/S0895-7177(99)00092-8

Stable distributions and the term structure of interest rates

S. A. Dostoglou, S. T. Rachev

Mathematics and Statistics

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

In an abundance of cases cases 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.

Original language	English
Pages (from-to)	57-60
Number of pages	4
Journal	Mathematical and Computer Modelling
Volume	29
Issue number	10-12
DOIs	https://doi.org/10.1016/S0895-7177(99)00092-8
State	Published - May 1999

Keywords

Martingale measures
Semi-martingales
Stable distributions
Stable parameters
Term structure

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10.1016/S0895-7177(99)00092-8

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title = "Stable distributions and the term structure of interest rates",

abstract = "In an abundance of cases cases 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.",

keywords = "Martingale measures, Semi-martingales, Stable distributions, Stable parameters, Term structure",

author = "Dostoglou, {S. A.} and Rachev, {S. T.}",

year = "1999",

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doi = "10.1016/S0895-7177(99)00092-8",

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T1 - Stable distributions and the term structure of interest rates

AU - Dostoglou, S. A.

AU - Rachev, S. T.

PY - 1999/5

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N2 - In an abundance of cases cases 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.

AB - In an abundance of cases cases 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.

KW - Martingale measures

KW - Semi-martingales

KW - Stable distributions

KW - Stable parameters

KW - Term structure

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U2 - 10.1016/S0895-7177(99)00092-8

DO - 10.1016/S0895-7177(99)00092-8

M3 - Article

AN - SCOPUS:0033133714

SN - 0895-7177

VL - 29

SP - 57

EP - 60

JO - Mathematical and Computer Modelling

JF - Mathematical and Computer Modelling

IS - 10-12

ER -

Stable distributions and the term structure of interest rates

Abstract

Keywords

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