时间相依利率扩散模型的非参数估计

中国管理科学 ›› 2006, Vol. ›› Issue (6): 1-5.

• 论文 • 下一篇

时间相依利率扩散模型的非参数估计

潘婉彬¹, 陶利斌², 缪柏其¹

1. 中国科学技术大学统计与金融系, 安徽, 合肥, 230026;
2. 香港大学经济与金融学院, 香港

收稿日期:2006-01-09 修回日期:2006-10-08 出版日期:2006-12-28 发布日期:2012-03-07
基金资助:
国家自然科学基金资助项目(10071082);教育部博士点基金;中国科学院和中国科技大学创新基金资助

The Nonparametric Estimation of Time-Dependent Diffusion Models

PAN Wan-bin¹, TAO Li-bin², MIAO Bai-qi¹

1. University of Science and Technology of China, Hefei 230026, China;
2. School of Economics and Finance, The University of Hong Kong, Hong Kong

Received:2006-01-09 Revised:2006-10-08 Online:2006-12-28 Published:2012-03-07

摘要/Abstract

摘要： 利率的变动模式会随着时间的推移、经济环境的变化和金融制度的改变而发生变化.时变的扩散模型能更好的描述短期利率的随机行为,文章采用基于核回归的非参数方法,估计中国银行间市场7天回购利率的时间相依CKLS模型.最后比较了时间相依CKLS模型与时齐CKLS模型在波动率预报上的表现,结果表明,时间相依CKLS模型更好的反映了利率实时的变化,提高了预测利率变化的精度.

关键词: 时间相依利率扩散模型, 非参数方法, 核回归

Abstract: The time-dependent diffusion models can better capture the stochastic behavior of short-term interest rates.Nonparametric methods based on kernel regression are used to estimate the time-dependent CKLS model for China interbank market 7-day repo rates.The forecasting power of the time-dependent CKLS model and that of the time-homogeneous CKLS model are also compared.The results show that time-dependent CKLS model improves the forecasting precision of the interest rates.

Key words: time-dependent diffusion models, nonparametric method, kernel regression

中图分类号:

F832
C931

潘婉彬, 陶利斌, 缪柏其. 时间相依利率扩散模型的非参数估计[J]. 中国管理科学, 2006, (6): 1-5.

PAN Wan-bin, TAO Li-bin, MIAO Bai-qi. The Nonparametric Estimation of Time-Dependent Diffusion Models[J]. Chinese Journal of Management Science, 2006, (6): 1-5.

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时间相依利率扩散模型的非参数估计

The Nonparametric Estimation of Time-Dependent Diffusion Models

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