| 基于多项式样条函数的利率期限结构模型实证比较 |
| |
| 引用本文： | 周荣喜,邱菀华.基于多项式样条函数的利率期限结构模型实证比较[J].系统工程,2004,22(6):39-43. |
| |
| 作者姓名： | 周荣喜 邱菀华 |
| |
| 作者单位： | 北京航空航天大学,经济管理学院,北京,100083 |
| |
| 基金项目： | 国家自然科学基金资助项目(70372011)，高校博士点专项科研基金资助项目(200030006009) |
| |
| 摘 要： | 推导出三次分段多项式样条贴现函数一般式的简化式，建立零息票债券利率期限结构样条回归模型，推导出即期零息票债券利率期限结构，并与文献12]中的模型进行实证比较，结果表明本文模型能较好地降低国债定价误差。
|
| 关 键 词： | 多项式样条函数 利率期限结构 样条回归模型 零息票债券 |
| 文章编号： | 1001-4098(2004)06-0039-05 |
Empirical Comparison of Term Structure of Interest Rate Based on Polynomial Spline Functions |
| |
| ZHOU Rong-xi,QIU Wan-hua.Empirical Comparison of Term Structure of Interest Rate Based on Polynomial Spline Functions[J].Systems Engineering,2004,22(6):39-43. |
| |
| Authors: | ZHOU Rong-xi QIU Wan-hua |
| |
| Abstract: | In this paper the simple formula of three times polynomial spline discount functions are derived and a spline (regression) model of term structure of interest rate of zero-coupon bonds is established. We have got the spot term structure of interest rate and made an empirical comparison with the model in 12]. The result shows that the model can significantly (decrease) the errors of Treasury pricing. |
| |
| Keywords: | Polynomial Spline Function Term Structure of Interest Rate Spline Regression Model Zero-coupon Bond |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
