| 复合分位数下的国债利率期限结构研究 |
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| 引用本文： | 刘昕明,李志强. 复合分位数下的国债利率期限结构研究[J]. 北京化工大学学报(自然科学版), 2013, 40(3): 114-118 |
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| 作者姓名： | 刘昕明 李志强 |
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| 作者单位： | 北京化工大学理学院,北京,100029;北京化工大学理学院,北京,100029 |
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| 基金项目： | 国家自然科学基金，国家社会科学基金 |
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| 摘 要： | 本文采用复合分位数回归(CQR)的估计方法对利率期限结构模型贴现率的估计与预报进行研究。实证结果表明，在小样本情形下复合分位数回归方法要比最小二乘法和分位数回归法稳健性更强，表现出对参数.
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| 关 键 词： | 利率期限结构 复合分位数回归 置信预报区间 |
| 收稿时间： | 2012-09-10 |
Term structure of interest rates of national debts based on composite quantile regression |
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| LIU XinMing , LI ZhiQiang. Term structure of interest rates of national debts based on composite quantile regression[J]. Journal of Beijing University of Chemical Technology, 2013, 40(3): 114-118 |
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| Authors: | LIU XinMing LI ZhiQiang |
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| Affiliation: | School of Science, Beijing University of Chemical Technology, Beijing 100029, China |
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| Abstract: | In this paper, we use the composite quantile regression (CQR) estimation method to study the estimation and forecast of the term structure of an interest rate model. The empirical results indicate that the CQR method is much more robust than least square regression methods for a small sample. The forecast result of the CQR method is much more accurate than any other methods for a range of bonds with different maturities. |
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