Testing Dependencies in Term Structure of Interest Rates

• Main Author: Lim, Kian Guan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Computational Intelligence; Artificial Intelligence; Robotics; Econometrics; Artificial Intelligence and Robotics; Business Administration, Management, and Operations
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3589; https://doi.org/10.1007/978-3-319-03395-2_9
• Institution: Singapore Management University

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...