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 robustnes...
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| Main Authors: | , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
1991
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/376 https://ink.library.smu.edu.sg/context/soe_research/article/1375/viewcontent/Term_Structure_JAE_pv_1991.pdf |
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