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引入风险补偿因子,建立半参短期利率模型,使用P-样条方法估计漂移项,并证明了在合适参数的约束条件下,相应的短期利率动态过程是非负的平稳过程.实证研究结果表明考虑半参模型将增加似然函数的估计值,同时考虑风险补偿因子将进一步改善模型的拟合效果.此外具有弹性系数模型比均方根模型能够更好地刻画时间序列数据,而且也发现风险补偿因子对于漂移项非线性现象是比较显著的.
The risk compensation factor is introduced to establish the semi-parametric short-term interest rate model, and the P-spline method is used to estimate the drift term. It is also proved that the corresponding short-term interest rate dynamic process is a non-negative stationary process under the constraints of appropriate parameters.The empirical results show that Semi-parametric model will increase the estimated value of the likelihood function, taking into account the risk compensation factor will further improve the model fitting effect.Moreover, the elastic coefficient model can better characterize the time series data than the root mean square model, and also found that the risk compensation Factors for the drift of the nonlinear phenomenon is more significant.