SHIBOR时序数据分析:基于Levy过程模型

Analyzing of SHIBOR Time Series: Based on Levy Process Models

随着人民币利率市场化的不断提出,SHIBOR时间序列在金融市场与相关领域的位置越来越重要。许多学者在SHIBOR时序与其研究领域的相关性方面做了大量研究,而且大多数研究成果都是基于计量回归。基于SHIBOR自身性质,运用Levy过程模型进行研究的成果较少。本文从一般时间与商业时间角度,应用Levy过程,建立多个Levy过程模型,反映SHIBOR时间序列的变动趋势。并将运用模型得到的结果进行对比,借以分析SHIBOR时间序列数据的相关特征,为SHIBOR利率定价奠下了更多的基础,丰富SHIBOR时间序列研究。

SHIBOR time series play an increasingly important role in the financial markets and related areas as the marketization of the RMB interest rate is more and more frequently advocated. Many scho-lars have made a number of studies on SHIBOR and the related fields. But most of them focus on the correlation between their own research fields and SHIBOR based upon regression model instead of on Levy process model and the characters of SHIBOR. This paper, from angles of real time and business time, by introducing Levy process, building multiple Levy process models and analyzing the results from the models, aims to reflect the changing trend and relevant characters of SHIBOR time series so as to enrich the research of SHIBOR time series and lay a sound foundation for the pricing of SHIBOR.