Testing Dependencies in Term Structure of Interest Rates

In this paper we study the term structure of interest rates and test the rational expectations hypothesis using single regression equations and then multivariate regression equations. Single regression equations are found to produce results that are sensitive to outliers due to finite sample. Multiv...

Full description

Saved in:
Bibliographic Details
Main Author: Lim, Kian Guan
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3589
https://doi.org/10.1007/978-3-319-03395-2_9
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English