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同时考虑利率的随机波动、长期均值变化和跳跃行为,本文构建了一个一般化短期利率的三因子跳跃扩散模型.以银行间债券市场7天回购利率的周度数据为研究对象,使用有效矩估计方法,对三因子跳跃扩散模型的四种不同形式进行实证分析与比较.实证结果表明随机波动和跳跃行为是短期利率变化的重要特征,长期均值变化对描述利率动态过程无明显改进.同时研究发现中国短期利率的跳跃行为较之美国过于频繁,这说明了中国利率市场的不成熟性.“,”We construct a general three-factor jump-diffusion model which contains stochastic volatility , long-term mean changes and jump behavior .With weekly data of Chinese 7 days inter-bank bond market repo-rate, we study and compare four different forms of three -factor jump-diffusion model using Efficient Method of Moments (EMM).It is found that stochastic volatility and jump behavior are the two important characteristics of interest rate process, but long-term mean changes cannot help explain the dynamic process of interest rate .Due to the in-sufficient marketization, the jump behavior is stronger than that of American rates .