TGARCH模型在利率波动建模中的应用被引量：6

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摘要波动率是利率期限结构模型的重要因素。本文从对利率的波动进行建模,进而对利率的波动进行预测的角度出发,在考虑利率波动的异方差性质,以及利率对正的信息和负的信息的不同的波动模式的基础上,用门限广义自回归条件异方差模型(TGARCH)对CKLS模型中的波动部分进行建模。

作者潘婉彬陶利斌缪柏其

机构地区中国科学技术大学统计与金融系香港大学经济与金融学院

出处《统计与决策》 CSSCI 北大核心 2007年第20期15-17,共3页 Statistics & Decision

基金国家自然科学基金资助项目(10071082) 教育部博士点基金资助项目中国科学院和中国科技大学创新基金资助项目

关键词利率期限结构模型 CKLS模型门限广义自回归条件异方差模型

参考文献11

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