| 基于分位数回归的样条函数法拟合国债利率期限结构 |
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| 引用本文： | 孙增献,程希骏,马利军,刘杰. 基于分位数回归的样条函数法拟合国债利率期限结构[J]. 系统工程, 2008, 26(11) |
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| 作者姓名： | 孙增献 程希骏 马利军 刘杰 |
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| 作者单位： | [1]中国科学技术大学统计与金融系,安徽合肥230026 [2]深圳大学管理学院信息系统管理系,广东深圳518060 |
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| 基金项目： | 中国科学院知识创新工程重要方向项目 |
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| 摘 要： | 通过引入分位数回归的方法,用多项式样条拟合上交所国债市场的利率期限结构,获得了一个稳健的估计,并有效地识别出错误定价的债券.
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| 关 键 词： | 多项式样条 分位数回归 利率期限结构 稳健估计 错误定价的债券 |
Fitting Term Structure of Interest Rate with Splines Based on Quantile Regression |
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| SUN Zeng-xian,CHENG Xi-jun,MA Li-jun,LIU Jie. Fitting Term Structure of Interest Rate with Splines Based on Quantile Regression[J]. Systems Engineering, 2008, 26(11) |
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| Authors: | SUN Zeng-xian CHENG Xi-jun MA Li-jun LIU Jie |
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| Affiliation: | SUN Zeng-xian1,CHENG Xi-jun1,MA Li-jun2,LIU Jie1(1.Department of Statistics , Finance,University of Science , Technology of China,Hefei 230026,China,2.Department of Information , System Management,Shenzhen University,Shenzhen 518060,China) |
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| Abstract: | By introducing the methodology of quantile regression,which offers a robust estimation,this paper fits the term structure of interest rate of treasure bills in SSE with polynomial splines and recognizes the inaccurately priced bonds efficiently. |
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| Keywords: | Polynomial Splines Quantile Regression Term Structure of Interest Rate Robust Estimation Inaccurately Priced Bonds |
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