Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/211701 
Authors: 
Year of Publication: 
1994
Series/Report no.: 
Bank of Finland Discussion Papers No. 13/1994
Publisher: 
Bank of Finland, Helsinki
Abstract: 
In this paper, I estimate nonlinear autoregressive models for Finnish short-term interest rates using daily data.The nonlinear models considered in the paper are the logistic (LSTAR) and exponential (ESTAR) autoregressive models.The estimated LSTAR model appears to capture some of the interest rate dynamics associated with the speculative attacks against the Finnish markka.The combined LSTAR-GARCH models are also estimated.
Persistent Identifier of the first edition: 
ISBN: 
951-686-410-4
Document Type: 
Working Paper

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