| 基于逐段曲线回归分析的息票剥离法的研究及应用 |
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| 引用本文： | 董继国.基于逐段曲线回归分析的息票剥离法的研究及应用[J].数学的实践与认识,2009,39(23). |
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| 作者姓名： | 董继国 |
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| 作者单位： | 河北师范大学数学与信息科学学院,河北,石家庄,050016 |
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| 摘 要： | 对一般息票剥离法(Bootstrap m ethod)进行了改进,将其在两个最近期间之间的利率利用线性关系进行估计,扩展为由回归分析逐段拟合曲线给予预测和估值.并给出了模型需要修正的情况和一个一般的修正方法.最后与N elson-S iegel模型构造收益率曲线的方法进行了对比实证分析,并给出了相应的分析结果.
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| 关 键 词： | 逐段曲线回归 息票剥离法 利率期限结构 |
Studies and Application of Bootstrap Based on Stagewise Regression |
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| DONG Ji-guo.Studies and Application of Bootstrap Based on Stagewise Regression[J].Mathematics in Practice and Theory,2009,39(23). |
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| Authors: | DONG Ji-guo |
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| Institution: | DONG Ji-guo(College of Mathematics and Information Science,Hebei Normal University,Shijiazhuang 050016,China) |
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| Abstract: | The bootstrap method based on stagewise regression is proposed in this paper and it is applied to estimate term structure of interest rate. In this method, the linear relations of interest rates between two recent period is extended. And has carried on the contrast empirical analysis with the Nelson-Siegel model structure income rate curve method, has produced the corresponding analysis result. |
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| Keywords: | stagewise regression bootstrap method term structure of interest rate |
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