An Econometric Model on Interest Rate Risks on Basis of CKLS Process and Pertinent Empirical Analysis—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 Chinas 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.

作者: Jinmin Du Xiangyun Liu

作者单位: Faculty of Finance and Institute of Finance Research Jinan University Guangzhou, China 510632

会议类型: 国际会议

会议名称: Fourth International Conference on Impulsive and Hybrid Dynamical Systems(ICIHDS 2007)(第四届国际脉冲和混合动力系统学术会议)

会议地点: 南宁

会议语种:英文

在线出版日期: 2007-07-20（万方平台首次上网日期，不代表论文的发表时间）