摘要
在分析现有多因子V asicek利率模型基础上,通过改进模型状态因子非相关性假定,推导出新的单、双因子V asicek状态空间利率模型及相应参数估计方法。最后利用上交所国债隐含的收益率数据估计了单因子及双因子V asicek状态空间利率模型。实证表明改进的双因子V asicek利率模型,比较准确地描述了利率期限结构的动态变化特征。
This paper discusses the updated Vasicek model by releasing the hypothesis of uncorrelated factors. The model is expressed in a state-space form and the Kalman filter is used to estimate the parameters of model. The empirical study shows that this two-factor Vasicek state-space model is efficient and can be used to model the dynamic interest rate term structure of government bonds in SSE.
出处
《系统工程理论方法应用》
北大核心
2005年第5期458-461,共4页
Systems Engineering Theory·Methodology·Applications
