Efficient Method of Moments Estimation for Jump-Stochastic Volatility,Stochastic mean drift Term Structure of Interest Rate

摘要：

It summarizes the development of theory and models of interest rate term structure,analyzes and resolves three difficult problems in term structure.They are the nonlinear of mean drift,the conditional heteroskedasticity of volatility and extreme interest rate because of paroxysmal events.It builds the stochastic mean and stochastic volatility interest rate term structure model,SVJ-SD model for short.It chooses the repo interest rate of national debt of China as sample,making empirical research of SVJ-SD model.Using the efficient method of moments estimates SVJ-SD model instead of maximum likelihood method and get well parameter results and forecast effect.

关键词： Term structure of interest rate Efficient method of moments Semi-nonparametric model Stochastic volatility Jump

作者: ZHOU Li

作者单位: School of Information,Beijing Wuzi University,P.R.China,101149

会议类型: 国际会议

会议名称: 2007 International Conference on Management Science and Engineering(2007管理科学与工程国际学术会议)

会议地点: 河南焦作

会议语种:英文

页码: 1653-1658

在线出版日期: 2007-08-20（万方平台首次上网日期，不代表论文的发表时间）