An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore
This paper examines the stochastic behaviour of short-term interest rates in Singapore. We consider the following models of interest-rate structure: the lognormal model, the stable Paretian model and the mean-reversion model. Data on the three-month interbank rates are analysed. The mean-reversion m...
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1998
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sg-smu-ink.soe_research-14852010-09-23T05:48:03Z An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore TSE, Yiu Kuen This paper examines the stochastic behaviour of short-term interest rates in Singapore. We consider the following models of interest-rate structure: the lognormal model, the stable Paretian model and the mean-reversion model. Data on the three-month interbank rates are analysed. The mean-reversion model with conditional heteroscedasticity appears to fit the data adequately. [ABSTRACT FROM AUTHOR] 1998-03-01T08:00:00Z text https://ink.library.smu.edu.sg/soe_research/486 info:doi/10.1111/1467-8381.00050 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Asian Studies Econometrics |
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Singapore Management University |
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SMU Libraries |
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Asia |
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Singapore Singapore |
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InK@SMU |
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English |
| topic |
Asian Studies Econometrics |
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Asian Studies Econometrics TSE, Yiu Kuen An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore |
| description |
This paper examines the stochastic behaviour of short-term interest rates in Singapore. We consider the following models of interest-rate structure: the lognormal model, the stable Paretian model and the mean-reversion model. Data on the three-month interbank rates are analysed. The mean-reversion model with conditional heteroscedasticity appears to fit the data adequately. [ABSTRACT FROM AUTHOR] |
| format |
text |
| author |
TSE, Yiu Kuen |
| author_facet |
TSE, Yiu Kuen |
| author_sort |
TSE, Yiu Kuen |
| title |
An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore |
| title_short |
An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore |
| title_full |
An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore |
| title_fullStr |
An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore |
| title_full_unstemmed |
An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore |
| title_sort |
empirical analysis of the stochastic behaviour of short-term interest rates in singapore |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1998 |
| url |
https://ink.library.smu.edu.sg/soe_research/486 |
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1770569187862773760 |