| Vasicek状态空间模型与上交所国债利率期限结构实证 |
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| 引用本文： | 傅曼丽,屠梅曾,董荣杰.Vasicek状态空间模型与上交所国债利率期限结构实证[J].系统管理学报,2005,14(5):458-461. |
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| 作者姓名： | 傅曼丽 屠梅曾 董荣杰 |
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| 作者单位： | 上海交通大学,安泰管理学院,上海,200052 |
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| 摘 要： | 在分析现有多因子V asicek利率模型基础上,通过改进模型状态因子非相关性假定,推导出新的单、双因子V asicek状态空间利率模型及相应参数估计方法。最后利用上交所国债隐含的收益率数据估计了单因子及双因子V asicek状态空间利率模型。实证表明改进的双因子V asicek利率模型,比较准确地描述了利率期限结构的动态变化特征。
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| 关 键 词： | 国债 利率期限结构 双因子Vasicek模型 卡尔曼滤波 |
| 文章编号： | 1005-2542(2005)05-0458-04 |
| 修稿时间： | 2004年9月3日 |
Empirical Study on Estimated Error of Term Structure of Interest Rate Using B-Splines Method |
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| FU Man-li,TU Mei-zeng,DONG Rong-jie.Empirical Study on Estimated Error of Term Structure of Interest Rate Using B-Splines Method[J].Systems Engineering Theory·Methodology·Applications,2005,14(5):458-461. |
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| Authors: | FU Man-li TU Mei-zeng DONG Rong-jie |
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| Abstract: | This paper discusses the updated Vasicek model by releasing the hypothesis of uncorrelated factors.The model is expressed in a state-space form and the Kalman filter is used to estimate the parameters of model. The empirical study shows that this two-factor Vasicek state-space model is efficient and can be used to model the dynamic interest rate term structure of government bonds in SSE. |
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| Keywords: | government bonds term structure of interest rates two-factor Vasicek model Kalman filter |
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