| 基于样条函数的国债利率期限结构模型研究 |
| |
| 引用本文： | 陈盛双,姚志鹏. 基于样条函数的国债利率期限结构模型研究[J]. 武汉理工大学学报(信息与管理工程版), 2007, 29(6): 113-116 |
| |
| 作者姓名： | 陈盛双 姚志鹏 |
| |
| 作者单位： | 武汉理工大学,理学院,湖北,武汉,430070 |
| |
| 摘 要： | 结合多项式样条函数和指数样条函数的特点。挑选出在短、中、中长期能最好反映我国国债价格的样条函数，并进一步构造出我国国债的利率期限结构。通过实证分析，所得到的利率期限结构能较好地反映国债价格。
|
| 关 键 词： | 利率期限结构 样条函数 国债 |
| 文章编号： | 1007-144X（2007）00-0113-04 |
| 修稿时间： | 2006-10-25 |
Empirical Study of the Term Structure of Interest Rates Based on Spline Function |
| |
| CHEN Shengshuang,YAO Zhipeng. Empirical Study of the Term Structure of Interest Rates Based on Spline Function[J]. Journal of Wuhan University of Technology(Information & Management Engineering), 2007, 29(6): 113-116 |
| |
| Authors: | CHEN Shengshuang YAO Zhipeng |
| |
| Abstract: | According to the characters of polynomial spline and exponential spline, the spline function that can best reflect the prices of government bonds in the short, medium and long - term is selected. Furthermore, the term structure of interest rates is established. The empirical analysis illustrates that the estimated term structure of interest rates can reflect the bond price well. |
| |
| Keywords: | term structure of interest rates spline function government bond |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
