| 基于Shibor的嵌套类利率期限结构模型的比较研究 |
| |
| 引用本文： | 杜 军,翟欢欢.基于Shibor的嵌套类利率期限结构模型的比较研究[J].湖南大学学报(自然科学版),2010,37(7):89-92. |
| |
| 作者姓名： | 杜 军 翟欢欢 |
| |
| 作者单位： | 1. 中国科学院管理、决策与信息系统重点实验室,北京,100190;长沙理工大学经济与管理学院,湖南长沙,410076
2. 中国科学院管理、决策与信息系统重点实验室,北京,100190 |
| |
| 基金项目： | 国家社会科学基金重大资助项目，中国博士后科学基金资助项目，湖南省教育厅课题，湖南省社会科学基金资助项目，湖南省企业管理与投资研究基地项目 |
| |
| 摘 要： | 利用嵌套利率期限结构模型及广义矩估计方法,结合上海银行同业间拆借利率(Shibor)的经验数据,考察了嵌套类利率期限结构模型在中国利率及其衍生品市场显示的统计特性.通过对各模型参数估计值和统计推断值的比较分析,结果表明,只有那些蕴含了利率变动的条件波动率与利率水平高度相关机制的模型才能很好地拟合实际的Shibor市场数据.
|
| 关 键 词： | 衍生品 估计 统计推断 动态模型 |
Comparative Study of the Nested Interest Rate Term Structure Models Based on the Shanghai Interbank Offered Rate(Shibor) |
| |
| DU Jun and ZHAI Huan-huan.Comparative Study of the Nested Interest Rate Term Structure Models Based on the Shanghai Interbank Offered Rate(Shibor)[J].Journal of Hunan University(Naturnal Science),2010,37(7):89-92. |
| |
| Authors: | DU Jun and ZHAI Huan-huan |
| |
| Abstract: | Based on the nested interest rate term structure models and general moment estimation, we have studied the statistic dynamics of the Chinese interest rate and its derivative markets with the empirical data of the Shanghai interbank offered rate (Shibor). The values of estimation and statistic inference were comparatively studied,and the results have indicated that the models most suitable to the data of the Shibor market are those that allow the conditional volatility of interest rate change to be highly dependent on the level of the interest rate. |
| |
| Keywords: | Shibor |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《湖南大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《湖南大学学报(自然科学版)》下载免费的PDF全文 |
