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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Institutional Knowledge at Singapore Management University
1991
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sg-smu-ink.soe_research-13752021-02-17T06:43:49Z Term Structure of Interest Rates in the Singapore Asian Dollar Market LEE, Tom K. Y. TSE, Yiu Kuen 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 robustness of the empirical tests with respect to alternative specifications of the ARCH process is examined. It turns out that there is significant time-varying term premium, and this conclusion is independent of the hypothesized ARCH model. 1991-04-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/376 info:doi/10.1002/jae.3950060204 https://ink.library.smu.edu.sg/context/soe_research/article/1375/viewcontent/Term_Structure_JAE_pv_1991.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Asian Studies Econometrics Economics Finance |
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Asia |
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Singapore Singapore |
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Asian Studies Econometrics Economics Finance LEE, Tom K. Y. TSE, Yiu Kuen Term Structure of Interest Rates in the Singapore Asian Dollar Market |
| description |
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 robustness of the empirical tests with respect to alternative specifications of the ARCH process is examined. It turns out that there is significant time-varying term premium, and this conclusion is independent of the hypothesized ARCH model. |
| format |
text |
| author |
LEE, Tom K. Y. TSE, Yiu Kuen |
| author_facet |
LEE, Tom K. Y. TSE, Yiu Kuen |
| author_sort |
LEE, Tom K. Y. |
| title |
Term Structure of Interest Rates in the Singapore Asian Dollar Market |
| title_short |
Term Structure of Interest Rates in the Singapore Asian Dollar Market |
| title_full |
Term Structure of Interest Rates in the Singapore Asian Dollar Market |
| title_fullStr |
Term Structure of Interest Rates in the Singapore Asian Dollar Market |
| title_full_unstemmed |
Term Structure of Interest Rates in the Singapore Asian Dollar Market |
| title_sort |
term structure of interest rates in the singapore asian dollar market |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1991 |
| url |
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 |
| _version_ |
1770569141422391296 |