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| 利率模型的发展及计量方法的应用 | |
| 引用本文： | 潘冠中. 利率模型的发展及计量方法的应用[J]. 云南财贸学院学报, 2008, 24(2): 85-91 |
| 作者姓名： | 潘冠中 |
| 作者单位： | 上海财经大学高等研究院 上海200433云南财经大学金融学院，云南昆明650221 |
| 摘 要： | 利率模型的发展和完善与计量经济学方法的发展密不可分。综述利率模型的发展和计量方法之应用对利率模型的推动作用,重点介绍单因子扩散利率模型及其极大似然估计、广义矩估计和非参数方法在利率模型中的应用。 |
| 关 键 词： | 利率模型 极大似然估计 广义矩估计 非参数方法 |
| 文章编号： | 1007-5585(2008)02-0085-07 |
| 修稿时间： | 2007-09-24 |
The Development of Interest Rate Model and the Application of Econometric Method |
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| PAN Guan-zhong. The Development of Interest Rate Model and the Application of Econometric Method[J]. Journal of Yunnan Finance and Trade Institute, 2008, 24(2): 85-91 | |
| Authors: | PAN Guan-zhong |
| Abstract: | The development of interest rate model has close relationships with econometric methods.The paper reviews the development of interest rate model and describes the central role of econometric methods in pushing the development of interest rate model.The author mainly introduces the application of three kinds of econometric methods on interest rate models:single-factor interest rate model and its maximum likelihood estimation,general method of moment and nonparametric method. |
| Keywords: | Interest Rate Model Maximum Likelihood Estimation General Method of Moment Nonparametric Method |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |