An empirical analysis of medium-term interest rates

Details An empirical analysis of medium-term interest rates An empirical analysis of medium-term interest rates

2001-10-08

arxiv.org/abs/cond-mat/0110162v1

Physics

Condensed Matter

22 pages, 13 PostScript figures, Latex. submitted to Journal of Empirical Finance

Scientific paper

In 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.

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