Term Structure of Interest Rates in the Singapore Asian Dollar Market

• Main Authors: LEE, Tom K. Y., TSE, Yiu Kuen
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1991
• Subjects: Asian Studies; Econometrics; Economics; Finance
• Online Access: 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
• Institution: Singapore Management University

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...