[1] Vasicek,O.An Equilibrium Characterization of The Term Structure[J].Journal of Financial Economics,1977,5:177-188.
[2] Cox.J.C.,J.E.Ingersoll Jr.,and S.A.Ross.A Theory of the Term Structure of Interest Rates[J].Econometrica,1985,53:384-407.
[3] 吴冲锋,王海成,吴文峰.金融工程研究[M].上海交通大学出版社,2000.
[4] Chen,R.and L.Scott.Maximum Likelihood Estimation of a Multi-Factor Equilibrium Model of the Term Structure of Interest Rates[J].Journal of Fixed Income,1993,3(3):14-32.
[5] Pearson,N.and T.Sun.A Test of the Cox,Ingersoll and Ross Model of the Term Structure of Interest Rates Using the Method of Maximum Likelihood[J].Journal of Finance,1994.
[6] Gibbons,M.and K.Ramaswamy.A Test of the Cox,Ingersoll,and Ross Model of the Term Structure[J].Review of Financial Studies,1993,6(3):619-658.
[7] Hansen.Large Sample Properties of Generalized Method of Moments Estimation[J].Economerica,1982,50:1029-1054.
[8] Chan,K.C.,G.A.Karoyli,F.A.Longstaff and A.B.Sanders.An Empirical Comparison of Alternative Models of the Short-tern Interest Rate[J].Journal of Finance,1992,47:1209-1227.
[9] 谢赤.一个动态化的利率期限结构模型群[J].预测,2000,19(3):49-52.
[10] 谢赤,吴晓.关于货币风险套期保值方法的描述与比较[J].中国管理科学,2000,8(4):1-5. |
