摘要
通过引入分位数回归的方法,用多项式样条拟合上交所国债市场的利率期限结构,获得了一个稳健的估计,并有效地识别出错误定价的债券。
By introducing the methodology of quantile regression, which offers a robust estimation, this paper fits the term structure of interest rate of treasure bills in SSE with polynomial splines and recognizes the inaccurately priced bonds efficiently.
出处
《系统工程》
CSCD
北大核心
2008年第11期6-10,共5页
Systems Engineering
基金
中国科学院知识创新工程重要方向项目(KJCX3-SYW-S02)
关键词
多项式样条
分位数回归
利率期限结构
稳健估计
错误定价的债券
Polynomial Splines
Quantile Regression
Term Structure of Interest Rate
Robust Estimation
Inaccurately Priced Bonds
