An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore
This paper examines the stochastic behaviour of short-term interest rates in Singapore. We consider the following models of interest-rate structure: the lognormal model, the stable Paretian model and the mean-reversion model. Data on the three-month interbank rates are analysed. The mean-reversion model with conditional heteroscedasticity appears to fit the data adequately. [ABSTRACT FROM AUTHOR]
Asian Studies | Econometrics
Asian Economic Journal
TSE, Yiu Kuen.
An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore. (1998). Asian Economic Journal. 12, (1), 23-34. Research Collection School Of Economics.
Available at: http://ink.library.smu.edu.sg/soe_research/486
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