单因子利率期限结构模型的广义矩估计及对中国货币市场的实证检验被引量：21

GMM Estimation for Single factor Term Structure of Interest Rate Models and the Empirical Test of Chinese Money Market

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摘要本文在多个著名的单因子利率模型的基础上,提出了一个新的一般模型,其漂移项涵盖了线性和非线性两种形式。并用广义矩方法进行参数估计,在多种指标的比较下得到了一个较好模型。此模型的漂移项为非线性形式,具有显著的均值回复效应,且利率波动对利率水平极为敏感。 In this article, a new general model is proposed in which drift can be linear and nonlineor, based on several famous single - factor interest rate models. The author estimate the parameters of different models by GMM, and obtain a better model under comparison by many indexes. This model has nonlinear drift, has significant mean - reverting effect, and the volatility is highly sensitive to interest rate level.

作者马晓兰潘冠中

机构地区云南财贸学院

出处《数量经济技术经济研究》 CSSCI 北大核心 2006年第1期107-116,共10页 Journal of Quantitative & Technological Economics

关键词利率模型广义矩方法漂移项均值回复效应 Interest Rate Models Generalized Method of Moments Drift Mean - reverting Effect

分类号 F224.0 [经济管理—国民经济]

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参考文献13

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二级参考文献20

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