The Application of PMCMC in Term Structure of Interest Rates under Markov Regime Switching

摘要：

　　In recent researches, the nonlinear and non-Gaussian state-space models (SSM) have been proved better performance for studying volatility.However, the difficulty in parameter estimation greatly prevents further researching such models.A parameter estimation method applicable in above models, called PMCMC, is introduced in this paper.Considering the jump-diffusion term structure of interest rates under Markov regime switching, known as the extended CKLS model, is a typical nonlinear and non-Gaussian state-space model, the method will be implemented in simulation and empirical study for SHIBOR.Both results illustrate that the PMCMC algorithm has powerful advantages in tackling the term structure of interest rates under Markov regime switching.

关键词： state-space models PMCMC jump-diffusion term structure of interest rates regime switching

作者: ZHENG Shaozhi QIAN Hangyong

作者单位: College of economic,Jinan University,Guangzhou,China,510632

会议类型: 国际会议

会议名称: The 7th International Institute of Statistics & Management Engineering Symposium(IISMES2015) (第七届国际统计与管理工程学术研讨会)

会议地点: 山东 日照

会议语种:英文

页码: 807-812

在线出版日期: 2015-08-17（万方平台首次上网日期，不代表论文的发表时间）