An Empirical Analysis of the Stochastic Behaviour of Short-Term Interest Rates in Singapore
β Scribed by Y.K. Tse
- Book ID
- 108520747
- Publisher
- John Wiley and Sons
- Year
- 1998
- Tongue
- English
- Weight
- 148 KB
- Volume
- 12
- Category
- Article
- ISSN
- 1351-3958
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π SIMILAR VOLUMES
This article tests the performance of a wide variety of well-known continuous time models-with particular emphasis on the Black, Derman, and Toy (1990; henceforth BDT) term structure model-in capturing the stochastic behavior of the short term interest rate volatility. Many popular interest rate mod
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