An empirical analysis of medium-term interest rates

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dc.creatorDi Matteo, Tiziana
dc.creatorScalas, Enrico
dc.creatorAiroldi, Marco
dc.date2001-10-08
dc.date.accessioned2026-07-07T02:42:58Z
dc.date.available2026-07-07T02:42:58Z
dc.descriptionIn the present paper, an empirical study of LIBOR (London Interbank Offered Rate) data is presented. In particular, a data set of interest rates from 1997 to 1999, for two different currencies and various maturities, is analyzed. It turns out that the random behavior of the daily increments for the interest rates series is non-Gaussian and follows a leptokurtic distribution.
dc.description22 pages, 13 PostScript figures, Latex. submitted to Journal of Empirical Finance
dc.identifierhttps://arxiv.org/abs/cond-mat/0110162
dc.identifierhttp://arxiv.org/abs/cond-mat/0110162
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/18358
dc.subjectCondensed Matter
dc.titleAn empirical analysis of medium-term interest rates
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