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国债期限风险溢价的ARCH模型族研究

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摘要 国债期限风险溢价是指国债投资回报率与无风险资产收益率之间的差值。分析国债期限风险溢价的影响因素及可预测性,具有较强的理论与实践意义。文章利用ARCH模型族对上交所国债期限风险溢价的周序列建立了回归模型,取得了显著的统计效果。
作者 谈华君
出处 《统计与决策》 CSSCI 北大核心 2008年第15期125-127,共3页 Statistics & Decision
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