Term Structure of Interest Rate A EURIBOR Analysis

by Chen, Ying

Abstract (Summary)
Modelling term structure of interest rate has become important for investors. The classical term structure model (Vasicek model, Cox-Ingersoll- Ross model and Heath-Jarrow-Morton model) however have some drawbacks in application. Based on EURIBOR (Euro interbank offered rate) data in period from 23/11/1998 to 18/06/2002, we find EURIBOR curve abides by mean reversion and follows an upward sloping tendency. The standard deviation of EURIBOR, standard deviation and kurtosis of EU-
Bibliographical Information:


School:Humboldt-Universität zu Berlin

School Location:Germany

Source Type:Master's Thesis

Keywords:statistik wirtschaft


Date of Publication:09/26/2002

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