摘要
利用随机过程的原理和非参数的核函数估计方法建立了非参数的利率期限结构模型 ,采用上海证券交易所的国债回购利率数据对建立的模型进行了实证检验 ,并与 Vasicek、CIR模型进行了比较 .结果显示 ,短期利率扩散过程的漂移函数和扩散函数都是非线性的 ,短期利率的概率分布不服从参数模型所假设的分布 .实证结果证实 ,与参数模型相比 。
One nonparametric model was established by use of the stochastic theory and kernel estimation method. By use of the data of the repurchasing rate in Shanghai stock market, the nonparametric model was empirically tested compared to Vasicek and CIR. The testing result discloses that the drift and diffusion function are nonlinear, and the distribution of interest rate does not follow the specification in the parametric models. So the nonparametric model fits the interest rate term structure better than the parametric models.
出处
《上海交通大学学报》
EI
CAS
CSCD
北大核心
2003年第4期607-609,共3页
Journal of Shanghai Jiaotong University
关键词
非参数
利率
期限结构
模型
nonparametric
interest rate
term structure
model
