Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate

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dc.contributor.advisorHassan, Shakillen_ZA
dc.contributor.authorAling, Peteren_ZA
dc.date.accessioned2014-07-31T12:25:48Z
dc.date.available2014-07-31T12:25:48Z
dc.date.issued2007en_ZA
dc.descriptionIncludes bibliographical references (leaves 33-36).
dc.description.abstractThis paper presents the results of Gaussian estimation of the South African short-term interest rate. It uses the same Gaussian estimation techniques employed by Nowman (1997) to estimate the South African short-term interest rate using South afrcan Treasury bill data. A range of single-factor continuous-time models of the short-term interest rate are estimated using a discrete-time model and compared to a discrete approximation used by Chan, Karolyi, Lonstaff and Sanders (1992a). We find that the process followed by the South African short-term interest rate is best explained by the Constant Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid-1980s, confirming our suspicions that the financial liberalisation of that period affected the short rate process.en_ZA
dc.identifier.apacitationAling, P. (2007). <i>Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/5752en_ZA
dc.identifier.chicagocitationAling, Peter. <i>"Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2007. http://hdl.handle.net/11427/5752en_ZA
dc.identifier.citationAling, P. 2007. Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Aling, Peter AB - This paper presents the results of Gaussian estimation of the South African short-term interest rate. It uses the same Gaussian estimation techniques employed by Nowman (1997) to estimate the South African short-term interest rate using South afrcan Treasury bill data. A range of single-factor continuous-time models of the short-term interest rate are estimated using a discrete-time model and compared to a discrete approximation used by Chan, Karolyi, Lonstaff and Sanders (1992a). We find that the process followed by the South African short-term interest rate is best explained by the Constant Elasticity of Variance (CEV) model and that the conditional volatility depends to some extent on the level of the interest rate. In addition we find evidence of a structural break in the mid-1980s, confirming our suspicions that the financial liberalisation of that period affected the short rate process. DA - 2007 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2007 T1 - Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate TI - Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate UR - http://hdl.handle.net/11427/5752 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/5752
dc.identifier.vancouvercitationAling P. Gaussian estimation of single-factor continuous-time models of the South African short-term interest rate. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2007 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/5752en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherEconomicsen_ZA
dc.titleGaussian estimation of single-factor continuous-time models of the South African short-term interest rateen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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