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| 利率期限结构转换模型及实证分析 | |
| 引用本文： | 马晓丽,刘新平. 利率期限结构转换模型及实证分析[J]. 纺织高校基础科学学报, 2004, 17(3): 201-203 |
| 作者姓名： | 马晓丽 刘新平 |
| 作者单位： | 1. 西安工业学院,数理系,陕西,西安,710032 2. 陕西师范大学,数学与信息科学学院,陕西,西安,710062 |
| 基金项目： | 国家自然科学基金资助项目(40271037) |
| 摘 要： | 利用广义的自回归条件异方差模型，对中国银行问同业拆借利率随时间变化的特征进行了实证分析，发现加入结构转换变量的利率期限结构模型更适合描述中国金融市场上的利率行为特征． |
| 关 键 词： | 条件异方差 利率期限结构模型 GARCH模型 极大似然估计 |
| 文章编号： | 1006-8341(2004)03-0201-03 |
| 修稿时间： | 2004-04-20 |
Term structure model of interest rate with regime-switching variable and an empirical analysis |
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| MA Xiao-li,LIU Xing-ping. Term structure model of interest rate with regime-switching variable and an empirical analysis[J]. Basic Sciences Journal of Textile Universities, 2004, 17(3): 201-203 | |
| Authors: | MA Xiao-li LIU Xing-ping |
| Affiliation: | MA Xiao-li~1,LIU Xing-ping~2 |
| Abstract: | Autoregressive conditional heteroskedasticity process is a new stochastic process, which is used (extensively) to research time array and shows the characteristic of array variable along with time changing.An empirical analysis about interest rate datas in China market has been done,and it is found that the regime-switching model of interest rate is very suitable to describe the characteristic of behavior of interest rate in (China) finance. |
| Keywords: | conditional heteroskedasticity term structure model of interest rate GARCH model maximum likehood estimate |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |