小样本特征下中国市场收益率曲线估计研究

Empirical Study of Chinese interest term structure Under Small Sample Circumstance

文章针对我国当前债券市场债券品种相对较少、交易量相对不活跃的小样本特征,联合利用所有当前和过去的价格信息,应用了不完全面板数据情形下非线性Kalman滤波方法来估计当前静态期限结构以及动态期限结构。实证结果表明,该方法估计得到的收益率曲线不仅有很好地拟合市场数据效果,而且具有连续变化的稳定性。

This paper applies the incomplete - panel - data nonlinear Kalman filter method to deal with the small - sample bond market of China using the current information and past market information. The empirical results show that the interest term structure obtained by this method has pretty good - of - fitness; furthermore, the continuous variation of interest term structure is steady.