| 含跳跃过程的单因子利率模型研究——基于中国国债回购市场的实证分析 |
| |
| 引用本文： | 陈学胜. 含跳跃过程的单因子利率模型研究——基于中国国债回购市场的实证分析[J]. 特区经济, 2006, 0(12): 90-91 |
| |
| 作者姓名： | 陈学胜 |
| |
| 作者单位： | 山东工商学院,会计学院,山东,烟台,264005 |
| |
| 摘 要： | 在CKLS模型的基础上,笔者提出了一个加入跳跃过程的单因子利率期限结构模型。通过对我国国债回购利率的实证检验,发现加入跳跃过程后,模型不但能更好地拟合实际数据,而且揭示了利率均值回复和水平效应的部分原因,从而增强了模型的解释能力。
|
| 关 键 词： | 利率期限结构 回购利率 跳跃过程 极大似然估计 |
Jumping period single gene interest rate mode research --demonstration analysis basing on China state bond buying back market |
| |
| Chen Xue Sheng. Jumping period single gene interest rate mode research --demonstration analysis basing on China state bond buying back market[J]. Special Zone Economy, 2006, 0(12): 90-91 |
| |
| Authors: | Chen Xue Sheng |
| |
| Abstract: | In this paper, based on the model of CKLS, we develop a new one - factor term structure model of interest rates, which allows for jumps in interest rates. By an Empirical analysis of the Bepe rates of the treasury bonds in our country, we find that the model can better fit data and partly unveil the reason of mean - reverting effect and level effect. Therefore, the explaining competence of the model is improved. |
| |
| Keywords: | the term structure of interest rates Repo rates Poisson process MLE |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
