Dua, Pami; Raje, Nishita; Sahoo, Satyananda - Centre for Development Economics, Delhi School of Economics - 2004
The study develops univariate (ARIMA and ARCH/GARCH) and multivariate models (VAR, VECM and Bayesian VAR) to forecast short- and long-term rates, viz., call money rate, 15-91 days Treasury Bill rates and interest rates on Government securities with (residual) maturities of one year, five years...