Term Structure of Interest Rates in the Singapore Asian Dollar Market
This paper investigates empirically the term structure of interest rates in the Singapore Asian Dollar Market. We consider extended versions of the ARCH-M model of Engle, Lilien, and Robins (1987). The extended models permit autocorrelation, skewness and leptokurtosis in the residuals. The robustness of the empirical tests with respect to alternative specifications of the ARCH process is examined. It turns out that there is significant time-varying term premium, and this conclusion is independent of the hypothesized ARCH model.
Journal of Applied Econometrics
Lee, T. K. Y. and TSE, Yiu Kuen.
Term Structure of Interest Rates in the Singapore Asian Dollar Market. (1991). Journal of Applied Econometrics. 6, (2), 143. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/376