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利率模型的发展及计量方法的应用 被引量：3

The Development of Interest Rate Model and the Application of Econometric Method
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摘要 利率模型的发展和完善与计量经济学方法的发展密不可分。综述利率模型的发展和计量方法之应用对利率模型的推动作用,重点介绍单因子扩散利率模型及其极大似然估计、广义矩估计和非参数方法在利率模型中的应用。 The development of interest rate model has close relationships with econometric methods. The paper reviews the development of interest rate model and describes the central role of econometric methods in pushing the development of interest rate model. The author mainly introduces the application of three kinds of econometric methods on interest rate models ： single - factor interest rate model and its maximum likelihood estimation, general method of moment and nonparametric method.
作者 潘冠中
机构地区 上海财经大学高等研究院
出处 《云南财经大学学报》 2008年第2期85-91,共7页 Journal of Yunnan University of Finance and Economics
关键词 利率模型 极大似然估计 广义矩估计 非参数方法 Interest Rate Model Maximum Likelihood Estimation General Method of Moment Nonparametric Method
分类号 F224.0 [经济管理—国民经济]
  • 相关文献

参考文献34

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二级参考文献26

  • 1潘冠中.单因子利率期限结构模型参数估计的数据选择[J].数量经济技术经济研究,2004,21(9):71-77. 被引量：24
  • 2潘冠中,邵斌.单因子利率模型的极大似然估计——对中国利率的实证分析[J].财经研究,2004,30(10):62-69. 被引量：23
  • 3Chan K C G, Andrew Karolyi, Francis A Longstaff,Anthony B Sanders. An emprical comparison of alternative models of the term structure of interest rates[J]. The Journal of Finance 47 (July, 1992): 1209-1228.
  • 4Cox John C, Jonathan E Ingersoll Jr, Stephen A Ross. A theory of the term structure of Interest rates[J]. Econometrica 53 (March, 1985) : 385-407.
  • 5Duffie, Darrell. Dynamic asset pricing theory[M]. Princeton: Princeton University Press, 2001.
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  • 9Schaumburg, Ernst. Empirical models of the short term Interest rate[Z]. PhD Dissertation, Princeton University, 2001.
  • 10Vasicek, Oldrich. An equilibrium characterization of the term structure[J]. Journal of Financial Economics 5 (November, 1977). 177-188.

共引文献154

同被引文献25

  • 1东明.随机利率下的联合寿险精算模型[J].系统工程,2006,24(4):68-72. 被引量：14
  • 2胡柳,吴祖玉.动态利率期限模型的估计和实证研究[J].计算机仿真,2006,23(11):250-255. 被引量：2
  • 3中国人民银行公告[OL].(http://www.pbc.gov.en/).
  • 4颜忠田.《结构型商品评价与分析--以逆浮动利率连结商品与汇率连结商品为例》[R],政大机构典藏,2007.
  • 5Alan Brace, Dariuse Gatarek, Marek Museila, The Market Model of Interest Rate Dynamics [J], Mathematical Finance, Vol. 7, No. 2, 1997.
  • 6Andersen, Brotherton, Extended Libor Market Models with Stochastic Volatility [J], Journal of Coputational Finance, 91 (1), 2001.
  • 7Andersen, Andreasen, Volatility Skew and Extensions of the Libor Market Model [J], SSRN, 1998.
  • 8Clement E. , D. Lamberton, P. Protter. , An Analysis of a Least Squares Regression Mathod for Amerian Option Pricing [J], Finance and Stochastics 6, 449-471, 2002.
  • 9Denis Belomestny, Stanley Mathew, John Schoenmakers, Multiple Stochastic Volatility Extension of the Libor Market Model and Its Implementation [J], SSRN, 2009.
  • 10He Hu, Markov Chain Monte Carlo Estimation of Multi-factor A f fine Term-structure Model [D], University of California, Los Angles, 2005.

引证文献3

二级引证文献5

云南财经大学学报
2008年 第2期

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