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dc.contributor.advisor高集体
dc.contributor.advisor李木易
dc.contributor.author刘斐
dc.date.accessioned2016-02-23T01:29:03Z
dc.date.available2016-02-23T01:29:03Z
dc.date.issued2015-07-10 16:21:35.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/97483
dc.description.abstract连续扩散模型在我国即期利率动态行为的研究中有着广泛的应用,但是对于扩散模型设定检验的探索非常有限。本文采用Chen,GaoandTang(2008)提出的扩散模型设定检验方法对我国银行间市场同业拆借利率进行了实证研究。在检验统计量的构建过程中,本文使用非参数方法对利率水平的转移密度进行估计,并采用经验似然方法得到了检验统计量的显式表达式。由于样本量有限,本文没有根据检验统计量的渐近分布计算临界值,而是通过自助法得到了临界值。本文选择Yu(2007)提出的转移密度函数近似方法构造了似然函数对模型参数进行了极大似然估计。检验结果表明:具有线性漂移函数且未考虑利率水平对波动率影响的Vasicek模型...
dc.description.abstractThe continuous diffusion models are widely used in the empirical research on Chinese short-term interest rate, while the present studies on model specification tests of diffusion models are quite limited. In this paper, I employ a model specification test proposed by Chen, Gao and Tang (2008) to conduct an empirical study on the interbank offered rate in Chinese interbank market.During the constru...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=46932&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=50077
dc.subject模型设定检验
dc.subject经验似然方法
dc.subject同业拆借利率
dc.subjectModel specification test
dc.subjectEmpirical likelihood method
dc.subjectInterbank offered rate
dc.title连续扩散模型的设定检验研究:基于我国同业拆借利率的实证分析
dc.title.alternativeSpecification Test on Continuous Diffusion Models: An Empirical Analysis on Chinese Interbank Offered Rate
dc.typethesis
dc.date.replied2015-05-08
dc.description.note学位:经济学硕士
dc.description.note院系专业:王亚南经济研究院_金融学
dc.description.note学号:27720121152617


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