An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models
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References listed on IDEAS
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More about this item
Keywordssingle-factor models; mean reversion; GMM estimation; prediction tests; Financial Economics; C52; E43;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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