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...

Full description

Saved in:
Bibliographic Details
Main Author: TSE, Yiu Kuen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 1998
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/486
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.soe_research-1485
record_format dspace
spelling 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
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Asian Studies
Econometrics
spellingShingle 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
_version_ 1770569187862773760