Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Econometrics
Term Structure Of Interest Rates In The Singapore Asian Dollar Market, Tom K. Y. Lee, Yiu Kuen Tse
Term Structure Of Interest Rates In The Singapore Asian Dollar Market, Tom K. Y. Lee, Yiu Kuen Tse
Research Collection School Of Economics
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 robustness of the empirical tests with respect to alternative specifications of the ARCH process is examined. It turns out that there is significant time-varying term premium, and this conclusion is independent of the hypothesized ARCH model.