时间相依利率扩散模型的非参数估计

Chinese Journal of Management Science ›› 2006, Vol. ›› Issue (6): 1-5.

The Nonparametric Estimation of Time-Dependent Diffusion Models

PAN Wan-bin¹, TAO Li-bin², MIAO Bai-qi¹

1. University of Science and Technology of China, Hefei 230026, China;
2. School of Economics and Finance, The University of Hong Kong, Hong Kong

Received:2006-01-09 Revised:2006-10-08 Online:2006-12-28 Published:2012-03-07

Abstract

Abstract: The time-dependent diffusion models can better capture the stochastic behavior of short-term interest rates.Nonparametric methods based on kernel regression are used to estimate the time-dependent CKLS model for China interbank market 7-day repo rates.The forecasting power of the time-dependent CKLS model and that of the time-homogeneous CKLS model are also compared.The results show that time-dependent CKLS model improves the forecasting precision of the interest rates.

Key words: time-dependent diffusion models, nonparametric method, kernel regression

CLC Number:

F832
C931

PAN Wan-bin, TAO Li-bin, MIAO Bai-qi. The Nonparametric Estimation of Time-Dependent Diffusion Models[J]. Chinese Journal of Management Science, 2006, (6): 1-5.

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The Nonparametric Estimation of Time-Dependent Diffusion Models

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