| 基于双因素利率期限结构模型的国债市场利率行为研究 |
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| 引用本文： | 张绍斌,齐中英,张亚光.基于双因素利率期限结构模型的国债市场利率行为研究[J].运筹与管理,2005,14(2):120-124. |
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| 作者姓名： | 张绍斌 齐中英 张亚光 |
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| 作者单位： | 1. 哈尔滨工业大学,管理学院,黑龙江,150001
2. 哈尔滨工程大学,经济管理学院,黑龙江,哈尔滨,150001 |
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| 摘 要： | 本引用一种新的计量经济学方法-高斯估计法，通过Gauss语言编程，使用国债市场短期利率数据对双因素连续时间利率期限结构模型进行了参数估计和预测，得出的结果较理想，从而能更好的了解国债市场短期利率行为特点。
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| 关 键 词： | 期限结构 回购利率 双因素模型 |
| 文章编号： | 1007-3221(2005)02-0120-05 |
| 修稿时间： | 2004年10月22 |
Study on the Interest Rate Behavior in Government Bonds Market Based on the Two-factor Term Structure Models of Interest Rates |
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| ZHANG Shao-bin,QI Zhong-ying,ZHANG Ya-guang.Study on the Interest Rate Behavior in Government Bonds Market Based on the Two-factor Term Structure Models of Interest Rates[J].Operations Research and Management Science,2005,14(2):120-124. |
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| Authors: | ZHANG Shao-bin QI Zhong-ying ZHANG Ya-guang |
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| Institution: | ZHANG Shao-bin~1,QI Zhong-ying~1,ZHANG Ya-guang~2 |
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| Abstract: | In the paper, the author estimates and forecasts the two-factor continuous time model of term structure of interest rates by introducing the new Gaussian estimation method using the programs of Gauss language and the data from government bonds market. The empirical result is very significant. Then we can understand the interest rate behavior in government bonds market more clearly. |
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| Keywords: | term structure repurchasing rate two-factor model |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
