León, Ángel; Nave, Juan - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2002
This paper focuses on modelling the short-term interest rate. We estimate and compare different conditional heteroskedasticity models which are divided into three groups: (1) the Levels models; (2) the GARCH models; and (3) the Mixed models which take into account the effects in both (1) and...
