| B-样条法构建利率期限结构的实证研究 |
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| 引用本文： | 傅曼丽,董荣杰,屠梅曾.B-样条法构建利率期限结构的实证研究[J].哈尔滨工业大学学报,2007,39(8):1337-1340. |
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| 作者姓名： | 傅曼丽 董荣杰 屠梅曾 |
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| 作者单位： | 上海交通大学,安泰管理学院,上海,200052 |
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| 摘 要： | 根据B-样条法构建利率期限结构的原理,推导利率期限结构的估计误差公式,并建立以期限结构的估计误差为指标的参数优化方法;最后运用优化后的B-样条法构造了上交所国债数据隐含的利率期限结构,并对误差分布进行实证检验.结果表明,按估计误差优化后的B-样条法可有效估计上交所国债隐含的利率期限结构及变动状况.
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| 关 键 词： | 国债 利率期限结构 收益率 B-样条函数 |
| 文章编号： | 0367-6234（2007）08-1337-04 |
| 修稿时间： | 2005-02-21 |
Empirical study on estimating term structure of interest rate using B- splines method |
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| FU Man-li,DONG Rong-jie,TU Mei-zeng.Empirical study on estimating term structure of interest rate using B- splines method[J].Journal of Harbin Institute of Technology,2007,39(8):1337-1340. |
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| Authors: | FU Man-li DONG Rong-jie TU Mei-zeng |
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| Affiliation: | Aetna School of Management, Shanghai Jiaotong University, Shanghai 200052, China |
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| Abstract: | Formulas to calculate the estimated variance of interest rate were deduced from the principle of B-splines method to fit interest rate term structure.Then the appropriate variance of interest rate was used to guide the optimization of the parameter setting in B-splines method.Finally this optimized B-splines method was applied to bond data of Shanghai Stock Exchange and the result revealed fluctuations of the term structure estimates over 80 weeks while typical appropriate variance was also provided.This empirical study shows that the optimized B-splines is reliable and can be used to estimate efficiently the interest rate term structure of Government Bonds in SSE. |
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| Keywords: | government bonds term structure of interest rates yield curve B-splines function |
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