Some International Evidence on the Stochastic Behaviour of Interest Rates
This paper examines the stochastic behavior of short-term interest rates in eleven countries. Following Chan et al. (1992a), we consider eight stochastic models of short-term interest rates, all of which are nested within a discretized approximation to a differential equation. We use the generalized...
Saved in:
| Main Author: | |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1995
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/239 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |