| 基于最小一乘准则的三次样条对利率期限结构的拟合 |
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| 引用本文： | 李熠熠,潘婉彬,缪柏其.基于最小一乘准则的三次样条对利率期限结构的拟合[J].数理统计与管理,2010,29(1). |
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| 作者姓名： | 李熠熠 潘婉彬 缪柏其 |
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| 作者单位： | 中国科学技术大学统计与金融系,安徽,合肥,230026 |
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| 摘 要： | 将基于最小一乘准则的三次样条函数法应用于拟合在上海证券交易所交易的国债的利率期限结构,并与传统的最小二乘法进行比较。样本外预测结果显示,稳健的最小一乘方法能有效的降低异常点的干扰,弥补最小二乘法的不足,提高预测的精度。
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| 关 键 词： | 利率期限结构 三次样条函数 最小一乘法则 |
Fitting Term Structure of Interest Rates with Cubic Spline Function Based on Least Absolute Deviations Regression |
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| LI Yi-yi,PAN Wan-bin,MIAO Bai-qi.Fitting Term Structure of Interest Rates with Cubic Spline Function Based on Least Absolute Deviations Regression[J].Application of Statistics and Management,2010,29(1). |
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| Authors: | LI Yi-yi PAN Wan-bin MIAO Bai-qi |
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| Institution: | LI Yi-yi PAN Wan-bin MIAO Bai-qi (University of Science , Technology of China,Anhui Hefei 230026,China) |
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| Abstract: | The Shanghai stock exchange term structure of interest rate is fitted with cubic spline function based on least absolute deviations regression(LAD).And this method is compared with the least square regression in the literature.The out of sample forecasting results show that the model based on the robust LAD improves the pricing precise of the bonds. |
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| Keywords: | term structure of interest rates cubic spline function least absolute deviations |
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