search query: @author Tse, Y. / total: 8
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Author: | Tse, Y. |
Title: | Some international evidence on the stochastic behavior of interest rates |
Journal: | Journal of International Money and Finance
1995 : OCT, VOL. 14:5, p. 721-738 |
Index terms: | INTEREST RATES MODELS INTERNATIONAL |
Language: | eng |
Abstract: | This paper examines the stochastic behavior of short-term interest rates in eleven countries. Following Chan et. al. (1992a), the author considers eight stochastic models of short-term interest rates, all of which are nested within a discretized approximation to a differential equation. The author uses the generalized method of moments to estimate the model. The empirical results show that no single model can satisfactorily describe the stochastic structure of interest rates for absolutely all countries. |
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