| 含跳跃过程单因子利率模型的估计——基于中国国债回购利率的实证分析 |
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| 引用本文： | 陈学胜. 含跳跃过程单因子利率模型的估计——基于中国国债回购利率的实证分析[J]. 南方经济, 2006, 0(10): 96-103 |
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| 作者姓名： | 陈学胜 |
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| 作者单位： | 山东工商学院会计学院,烟台,264005 |
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| 摘 要： | 在CKLS模型的基础上，我们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。
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| 关 键 词： | 利率期限结构 回购利率 跳跃过程 极大似然估计 |
| 文章编号： | 1000-6249（2006）010-0096-008 |
Estimation for One-Factor Term Structure of Interest Rates With Jumps: Evidence from Government Bond Market |
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| Xuesheng Chen. Estimation for One-Factor Term Structure of Interest Rates With Jumps: Evidence from Government Bond Market[J]. South China journal of Economy, 2006, 0(10): 96-103 |
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| Authors: | Xuesheng Chen |
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| Affiliation: | Xuesheng Chen |
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| Abstract: | Based on CKLS, we develop a new one-factor term structure of interest rates, which allows for jumps in interest rates. By utilizing the Repo rates of the treasury bonds in China, we find that the model can better fit and partly unveil the reason of mean-reverting effect and level effect. Therefore, the explaining competence of the model is improved. |
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| Keywords: | Term Structure of Interest Rates Repo Rates Poisson Process MLE |
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