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单因子利率期限结构模型参数估计的数据选择 被引量:24

Data Selection for Parameter Estimation of Single-factor Term Structure of Interest Rate Models
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摘要 本文证明了单因子利率模型参数估计数据选择的相关性原则,并提出另一原则:选择交易最频繁、成交量最大的利率品种。依据这两个原则,R007是瞬时利率r_t的最佳近似替代,在使用中国货币市场利率估计单因子利率模型的参数时,应该选择R007作为估计数据。
作者 潘冠中
出处 《数量经济技术经济研究》 CSSCI 北大核心 2004年第9期71-77,共7页 Journal of Quantitative & Technological Economics
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  • 1Ait - Sahalia, Yacine., Testing Continuous - Time Models of the Spot Rate. The Review of Financial Studies [J] 9 (Summer, 1996), 385-426.
  • 2Chan, K. C., G. Andrew Karolyi, Francis A. Longstaff and Anthony B. Sanders., An Emprical Comparison of Alternative Models of the Term Structure of Interest Rates. The Journal of Finance [J] 47 (July,1992), 1209-1228.
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  • 9Vasicek, Oldrich. An Equilibrium Characterization of the Term Structure. Journal of Financial Economics 5 [J], (November, 1977), 177-188.
  • 10谢赤,吴雄伟.基于Vasicek和CIR模型中的中国货币市场利率行为实证分析[J].中国管理科学,2002,10(3):22-25. 被引量:84

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