An empirical analysis of medium-term interest rates

Tiziana Di Matteo; Enrico Scalas; Marco Airoldi

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An empirical analysis of medium-term interest rates

Tiziana Di Matteo·Enrico Scalas·Marco Airoldi

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Abstract

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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Tiziana Di Matteo, Enrico Scalas, Marco Airoldi. 2001-10-08. An empirical analysis of medium-term interest rates. https://arxiv.org/abs/cond-mat/0110162

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