利率期限结构模型非线性建模

主管：中国科学院
主办：中国优选法统筹法与经济数学研究会
　　　中国科学院科技战略咨询研究院

Chinese Journal of Management Science ›› 2008, Vol. 16 ›› Issue (5): 17-21.

Previous Articles Next Articles

A Nonlinear Model of Term Structure Dynamics

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, Pokfulam Road, Hong Kong

Received:2007-12-15 Revised:2008-09-30 Online:2008-10-31 Published:2008-10-31

Abstract

Abstract: The threshold model is employed to capture the nonlinearity of the drift term in the models of the term structure of interest rates. A generalized pseudo-likelihood ratio test is introduced to test the threshold CKL,S model. The results show that the threshold CKL,S model can better describe the nonlinearity of the drift term than CKL,S model at 0.1 significant level.

Key words: threshold model, CKLS model, nonlinear, the generalized pseudo-likelihood ratio test

CLC Number:

F830.91

PAN Wan-bin, TAO Li-bin, MIAO Bai-qi. A Nonlinear Model of Term Structure Dynamics[J]. Chinese Journal of Management Science, 2008, 16(5): 17-21.

[1]	LU Xiao-qin, FENG Ling, DING Jian-ping. Testing the Nonlinear Cointegration Relation of Monetary Models of Exchange Rate Determination ——An Analysis Based on the Deep GRU Neural Network [J]. Chinese Journal of Management Science, 2020, 28(5): 1-13.
[2]	HU Hong-tao, BIAN Ying-ying, GUO Shu-yuan, WANG Shuai-an, YAN Wei. Research on Supply Chain Network Optimization with the Relationship of Pricing and Demand [J]. Chinese Journal of Management Science, 2020, 28(10): 165-171.
[3]	ZHANG Min, YU Le-an, LIU Feng-gen. Study on Regime Transition and Nonlinear Dynamic Adjustment Behavior of HogIndustry Chain Price in China [J]. Chinese Journal of Management Science, 2020, 28(1): 45-56.
[4]	ZHAO Zhao. Nonlinear Shrinkage Estimation of High Dimensional Conditional Covariance Matrix and its Application in Portfolio Selection [J]. Chinese Journal of Management Science, 2017, 25(8): 46-57.
[5]	CUI Yu-quan, ZHANG Xian. Research on Supply Chain Disruption Management and Information Value under Symmetric Information [J]. Chinese Journal of Management Science, 2016, 24(4): 83-93.
[6]	XU Qi-fa, ZHANG Jin-xiu, JIANG Cui-xia. Evaluating Multiperiod VaR via Nonlinear Quantile Regression Model [J]. Chinese Journal of Management Science, 2015, 23(3): 56-65.
[7]	HUANG Song, YANG Chao. Contracting with Asymmetric Production Cost Disruption Information under Nonlinear Demand Function [J]. Chinese Journal of Management Science, 2014, 22(8): 80-89.
[8]	WANG Liang, FENG Tao. A Study for the Control of Closed-end Fund Price Based on Two Stage Decision with the Limited Amount of Initial Investment [J]. Chinese Journal of Management Science, 2014, 22(2): 24-31.
[9]	JIANG Yong, WU Wu-qing, WANG Li-wei, YE Wu-yi, CHEN Min. The Estimating Method of VaR Based on the Threshold Double AR Model and its Application [J]. Chinese Journal of Management Science, 2012, 20(5): 1-6.
[10]	LI Tong, CHEN Chou-yong. Plant Growth Simulation Algorithm for Solving Nonlinear Bilevel Programming [J]. Chinese Journal of Management Science, 2012, (4): 160-166.
[11]	FENG Bao-jun, YAN Da-wen, CHI Guo-tai. Assets and Liabilities Optimization Model of the Risk Control Based on Nonlinear Interval Number [J]. Chinese Journal of Management Science, 2012, (1): 79-90.
[12]	ZHANG Zai-mei, XIE Chi, SUN Bo. Advancement and Empirical Research of Nonlinear FTR Model as Central Bank’s Foreign Exchange Intervention Reaction Function [J]. Chinese Journal of Management Science, 2010, 18(4): 34-42.
[13]	LIU Zhuo-jun, LIU Gang. The Analysis and Forecast of National Accident Trends in Work Safety [J]. Chinese Journal of Management Science, 2010, 18(4): 183-192.
[14]	GONG Yong-hua, LI Bang-yi. Second Degree Price Discrimination with Network Externality under Nonlinear Demand Function [J]. Chinese Journal of Management Science, 2010, 18(1): 102-106.
[15]	CHEN Xue-sheng, ZHOU Ai-min. Cross-sectional Research on the Contributions to the Price Discovery Process of the Cross-listings [J]. Chinese Journal of Management Science, 2009, 17(2): 21-28.

A Nonlinear Model of Term Structure Dynamics

PDF (PC)

Knowledge

Cited

Abstract

Cite this article

share this article

References

Related Articles 15

Metrics

Comments

Recommended 10