| 基于B样条对国债利率期限结构的实证研究 |
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| 引用本文： | 仝晓燕,程希骏.基于B样条对国债利率期限结构的实证研究[J].系统工程,2007,25(3):17-22. |
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| 作者姓名： | 仝晓燕 程希骏 |
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| 作者单位： | 中国科学技术大学,管理学院,安徽,合肥,230026 |
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| 基金项目： | 中国科学院知识创新工程项目 |
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| 摘 要： | 应用样条函数研究国债利率期限结构是近年来金融界研究的一个热点,本文使用B样条来研究中国国债市场的利率期限结构,在论文中,我们提出了使用删除学生化残差的方法剔出了里面一些可能存在错误定价的债券,通过样本内和样本外检验,得出B样条方法是切实可行的,并给出相应的即期利率曲线.
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| 关 键 词： | 利率期限结构 B样条模型 学生化残差 样本内检验 样本外检验 |
| 文章编号： | 1001-4098（2007）03-0017-06 |
| 修稿时间： | 2007-01-18 |
Fitting the Term Structure of Interest Rate of Bond with B Spline |
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| TONG Xiao-yan,CHENG Xi-jun.Fitting the Term Structure of Interest Rate of Bond with B Spline[J].Systems Engineering,2007,25(3):17-22. |
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| Authors: | TONG Xiao-yan CHENG Xi-jun |
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| Institution: | Department of Management ,University of Science and Technology of China,Hefei 230026,China |
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| Abstract: | Researches of term structure of interest rate with splines has become an important question in financial field. In this paper, we apply B spline as a try,We discard the mistaken bond price in statistical method. With the data we modified, We take in sample test and out of sample test,Then we get the correct term structure of interest adapted with the market of our country. |
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| Keywords: | Term Structure B Spline Student Residual In Sample Test Out of Sample Test |
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