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dc.contributor.advisor陈国进
dc.contributor.advisor牛霖琳
dc.contributor.advisor任宇
dc.contributor.author洪智武
dc.date.accessioned2018-12-05T01:43:34Z
dc.date.available2018-12-05T01:43:34Z
dc.date.issued2017-11-01
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/170255
dc.description.abstract国债收益率曲线是一国金融市场的定价基准、宏观经济运行的调节器以及国家主权信用风险的晴雨表。因此,围绕着收益率曲线的研究从理论到模型再到实证应用一直以来都备受国内外学者的关注。本文首先在无套利仿射Nelson-Seigel模型框架下进行模型拓展,建立一个包含Nelson-Siegel收益率因子、Spanned因子和Unspanned因子的无套利Nelson-Siegel混合因子模型。紧接着,基于在此框架,对国内外国债市场上三个不同的实际问题进行应用研究。 首先,针对中国地方债务问题,本文在国内外文献中首次从城投债市场中提取地方性政府债务风险代表因子,基于无套利Nelson-Siegel利率期限...
dc.description.abstractSince Treasury yield curve is the pricing benchmark of financial market, the regulator of macro-economic and the barometer of the national sovereign credit risk, the studies of Treasury yield curve, including the model theories development and empirical applications, have widely attracted the attention of scholars and financial institutions all over the world. In this paper, we first establish an ...
dc.language.isozh_CN
dc.relation.urihttp://210.34.4.28/opac/openlink.php?strText=56839&doctype=ALL&strSearchType=callno
dc.source.urihttp://etd.xmu.edu.cn/detail.asp?serial=61806
dc.subject利率期限结构
dc.subject宏观金融模型
dc.subject贝叶斯MCMC估计
dc.subjectInterest Rate Term Structure
dc.subjectMacro-finance Model
dc.subjectBayesian MCMC Estimation
dc.title无套利Nelson-Siegel利率期限结构模型的离散时间拓展与宏观金融应用
dc.title.alternativeExtended Discrete-Time No-arbitrage Nelson-Siegel Interest Rate Term Structure Model and Its Applications in Macro-finance
dc.typethesis
dc.date.replied2017-05-07
dc.description.note学位:经济学博士
dc.description.note院系专业:王亚南经济研究院_金融学
dc.description.note学号:27720130154200


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