An Econometric Model on Interest Rate Risks on Basis of CKLS Process and Pertinent Empirical Analyses: Taking Chinese Treasury Bond Market as an Example

摘要：

The paper conducts a positive analysis about the econometric modeling on interest rate risks on basis of CKLS process by taking our countrys Treasury bond market as an example. MLE can be used to estimate kinds of dynamic models about interest rate,because GMM is inefficient. It also explains the result of the experimental research.

关键词： Interest rate risk CKLS process Maximum likelihood estimate

作者: Du Jinmin Liu Xiangyun

作者单位: Faculty of Finance and Institute of Finance Research, Jinan University, P.R.China, 510632 Faculty of Finance and Institute of Finance Research, Jinan University, P.R.China, 510632;School of

会议类型: 国际会议

会议名称: 第六届管理学国际会议(Proceedings of ICM2007 the 6th International on Management)

会议地点: 武汉

会议语种:英文

页码: 636-642

在线出版日期: 2007-08-03（万方平台首次上网日期，不代表论文的发表时间）