For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies con...For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies conditions on the volatility structure of forward rates that permit the dynamics of the term structure to be represented by a finite-dimensional state variable Markov process. In the deterministic volatility case, we interpret then-factor model as a sum ofn unidimensional models.展开更多
In light of the nonlinear approaching capability of artificial neural networks ( ANN), the term structure of interest rates is predicted using The generalized regression neural network (GRNN) and back propagation ...In light of the nonlinear approaching capability of artificial neural networks ( ANN), the term structure of interest rates is predicted using The generalized regression neural network (GRNN) and back propagation (BP) neural networks models. The prediction performance is measured with US interest rate data. Then, RBF and BP models are compared with Vasicek's model and Cox-Ingersoll-Ross (CIR) model. The comparison reveals that neural network models outperform Vasicek's model and CIR model, which are more precise and closer to the real market situation.展开更多
Nelson-Siegel model ( NS model) and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research ...Nelson-Siegel model ( NS model) and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.展开更多
A term structure model bearing features of stochastic volatility and stochastic mean drift with jump (SVJ-SD model for short) is built in the paper to describe the stochastic behavior of interest rates.Based on samp...A term structure model bearing features of stochastic volatility and stochastic mean drift with jump (SVJ-SD model for short) is built in the paper to describe the stochastic behavior of interest rates.Based on sample data of an interest rate of national bond repurchase,maximum likelihood (ML),linear Kalman filter and efficient method of moments (EMM) are used to estimate the model.While ML works well for simple models,it may lead to considerable deviation in parameter estimation when dynamic risks of interest rates are considered in them.Linear Kalman filter is a tractable and reasonably accurate technique for estimation cases where ML was not feasible.Moreover,when compared with the first two approaches,using EMM can obtain better parameter estimates for complex models with non-affine structures.展开更多
A structured perturbation analysis of the least squares problem is considered in this paper.The new error bound proves to be sharper than that for general perturbations. We apply the new error bound to study sensitivi...A structured perturbation analysis of the least squares problem is considered in this paper.The new error bound proves to be sharper than that for general perturbations. We apply the new error bound to study sensitivity of changing the knots for curve fitting of interest rate term structure by cubic spline.Numerical experiments are given to illustrate the sharpness of this bound.展开更多
A parameter estimation method,called PMCMC in this paper,is proposed to estimate a continuous-time model of the term structure of interests under Markov regime switching and jumps.There is a closed form solution to te...A parameter estimation method,called PMCMC in this paper,is proposed to estimate a continuous-time model of the term structure of interests under Markov regime switching and jumps.There is a closed form solution to term structure of interest rates under Markov regime.However,the model is extended to be a CKLS model with non-closed form solutions which is a typical nonlinear and non-Gaussian state-space model(SSM)in the case of adding jumps.Although the difficulty of parameter estimation greatly prevents from researching models,we prove that the nonlinear and non-Gaussian state-space model has better performances in studying volatility.The method proposed in this paper will be implemented in simulation and empirical study for SHIBOR.Empirical results illustrate that the PMCMC algorithm has powerful advantages in tackling the models.展开更多
文摘For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies conditions on the volatility structure of forward rates that permit the dynamics of the term structure to be represented by a finite-dimensional state variable Markov process. In the deterministic volatility case, we interpret then-factor model as a sum ofn unidimensional models.
基金National Natural Science Foundation of China (No.70471051 & No.70671074)
文摘In light of the nonlinear approaching capability of artificial neural networks ( ANN), the term structure of interest rates is predicted using The generalized regression neural network (GRNN) and back propagation (BP) neural networks models. The prediction performance is measured with US interest rate data. Then, RBF and BP models are compared with Vasicek's model and Cox-Ingersoll-Ross (CIR) model. The comparison reveals that neural network models outperform Vasicek's model and CIR model, which are more precise and closer to the real market situation.
文摘Nelson-Siegel model ( NS model) and 2 extended NS models were compared by using daily interbank government bond data Based on the grouping of bonds according to the residual term to maturity, the empirical research proceeded with in-sample and outof-sample tests. The results show that the 3 models are almost equivalent in estimating interbank term structure of interest rates. Within the term to maturities between 0 and 7 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is smRller than 0.2 Yuan, and the absolute values of the in-sample and out-of-sample errors are smaller than 0. 1 Yuan, so the estimation is credible. Within the term to maturities between 7 and 20 years, the gap of the absolute errors of the 3 models between in-sample and out-of-sample is larger than 0.4 Yuan, and the absolute values of the in-sample and out-of-sample errors are larger than 1.0 Yuan, so the estimation is incredible.
基金Sponsored by the National Natural Science Foundation of China(60979010)
文摘A term structure model bearing features of stochastic volatility and stochastic mean drift with jump (SVJ-SD model for short) is built in the paper to describe the stochastic behavior of interest rates.Based on sample data of an interest rate of national bond repurchase,maximum likelihood (ML),linear Kalman filter and efficient method of moments (EMM) are used to estimate the model.While ML works well for simple models,it may lead to considerable deviation in parameter estimation when dynamic risks of interest rates are considered in them.Linear Kalman filter is a tractable and reasonably accurate technique for estimation cases where ML was not feasible.Moreover,when compared with the first two approaches,using EMM can obtain better parameter estimates for complex models with non-affine structures.
基金Funds for Major State The work of the second author is partly supported by the Special Basic Research Projects (2005CB321700)the National Science Foundation of China under grant No. 10571031The work of the third author is partly supported by the National Science Foundation of China under grant No. 10571031.
文摘A structured perturbation analysis of the least squares problem is considered in this paper.The new error bound proves to be sharper than that for general perturbations. We apply the new error bound to study sensitivity of changing the knots for curve fitting of interest rate term structure by cubic spline.Numerical experiments are given to illustrate the sharpness of this bound.
基金Supported by National Natural Science Foundation of China(71471075)Fundamental Research Funds for the Central University(19JNLH09)Humanities and Social Sciences Foundation of Ministry of Education,China(14YJAZH052).
文摘A parameter estimation method,called PMCMC in this paper,is proposed to estimate a continuous-time model of the term structure of interests under Markov regime switching and jumps.There is a closed form solution to term structure of interest rates under Markov regime.However,the model is extended to be a CKLS model with non-closed form solutions which is a typical nonlinear and non-Gaussian state-space model(SSM)in the case of adding jumps.Although the difficulty of parameter estimation greatly prevents from researching models,we prove that the nonlinear and non-Gaussian state-space model has better performances in studying volatility.The method proposed in this paper will be implemented in simulation and empirical study for SHIBOR.Empirical results illustrate that the PMCMC algorithm has powerful advantages in tackling the models.
基金This work is supported by National Natural Science Foundation of China (70372011) and the Youth Teacher Foundation of Beijing University of Chemical Technology (QN0521)