Browsing by Subject "Short-term interest rates"

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  • A Market Risk Model for Asymmetric Distributed Series of Return 

    Giannopoulos, Kostas; Nekhili, Ramzi (2012)
    In this paper we propose to model short-term interest rates by taking into consideration both the asymmetric properties of returns, using Pearson’s type IV distribution, and the time-varying volatility, using GARCH models. ...