THE INTERTEMPORAL BEHAVIOR OF SHORT-TERM INTEREST RATES IN HONG KONG
β Scribed by Joseph W. Cheng
- Book ID
- 111105731
- Publisher
- John Wiley and Sons
- Year
- 1996
- Tongue
- English
- Weight
- 410 KB
- Volume
- 23
- Category
- Article
- ISSN
- 0306-686X
No coin nor oath required. For personal study only.
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## Abstract The issues of nonβstationarity and long memory of real interest rates are examined here. Autoregressive models allowing shortβterm mean reversion are compared with fractional integration models in terms of their ability to explain the behaviour of the data and to forecast outβofβsample.
This study introduces a generalized discrete time framework to evaluate the empirical performance of a wide variety of well-known models in capturing the dynamic behavior of short-term interest rates. A new class of models that displays nonlinearity and asymmetry in the drift, and incorporates the l