利率期限结构

此外，结果表明不同到期日利率期限结构可由缩压的马尔科夫区制转移CKLS模型获得。

Additionally , the results show that the term structure of interest rates of different maturities can be obtained with the nested Markov regime switching CKLS model .

基于稳健估计的样条函数法对国债利率期限结构的拟合

Fitting term structure of interest rates of treasure bill market with splines based on robust estimation

利率期限结构（termstructure），是某个时点不同期限的利率所组成的一条曲线。

Term Structure is the curve formed by interest rates of different maturities .

基于B样条对国债利率期限结构的实证研究

Fitting the Term Structure of Interest Rate of Bond with B Spline

对利率期限结构的估计可以有许多方法，其中包括息票剥离法（BootStrapMethod）和样条估计法（splineApproximation）。

There exist many methods to estimate to term structure , which include the bootstrap method and spline approximation .

修正的FH利率期限结构模型

A Note on the FH Model of Interest Term Structure

中国加入WTO必将大大加快金融市场的发展，为应对这种挑战，本文对利率期限结构模型进行了理论分析和实证估计。

Since the entering of WTO will hasten the development of China financial market greatly , we need an analysis of term structure models for China .

国外同业拆借利率期限结构影响因素的实证分析&以美元LIBOR为例

Factor analysis on the term structure of inter-bank offered rate abroad

因此，本文主要采用了DNS模型来对利率期限结构曲线进行拟合。

Therefore , this paper mainly uses the DNS model to fit the term structure curve .

但本文建议基于较高的稳定性，Powell的B样条函数拟合的利率期限结构可以作为参照。

In addition , the term structure fitting using Powell B-spline function can be used as the reference because of its higher stability .

基于VRP方法的上交所国债利率期限结构拟合模型

VRP fitting model for the term structure of SSE T-bonds

两因子CIR模型对上交所利率期限结构的实证研究

Modeling term-structure of yields in SSE with two-factor CIR model

基于Shibor的利率期限结构预期理论研究

Test of the Expectation Theory of the Term Structure of Shibor

骑乘收益率曲线策略的研究基于对利率期限结构的分析，本文使用了B样条拟合国债隐含的利率期限结构，并比较了策略在不同期限的债券、不同持有期的情况下的不同表现。

For analyzing the term structure in Riding the yield curve , B-spline is used to fit the interest rate term structure implied by treasury bonds . Performance is compared between bonds with different maturity and different holding period .

各宏观经济因素在10%的显著性水平下均是利率期限结构的Granger原因，而利率期限结构却不是各宏观经济因素的Granger原因。

In the 10 % level of significance , Macroeconomic are the Granger cause of interest rate term structure , but the converse is not established .

以B样条为基点，综合研究利率期限结构的样条估计模型，对多种样条模型进行理论推导和参数估计求解，并在此基础上做出实证比较分析。

Using the B-spline basis , this paper presents a comprehensive research on the spline-based estimation models of the term structure of interest rates . Theoretical derivation and parameters ' estimation are given , based on which an empirical comparison is made furthermore .

Granger因果关系检验结果表明，利率期限结构的倾斜度变量和水平因子变量蕴含着货币政策的信息。

According to the result of Granger Causality Test , the slope and level factor in term structure of interest rate implies the information about monetary policy .

基于Hull-White模型的债券市场利率期限结构研究

Research into Interest Term Structure of Chinese Bond Market Based on Hull-White Model

但估计出的两因子CIR模型对利率期限结构的预测误差具有一定的序列相关性，说明估计出的两因子CIR模型没有充分反映债券回报率和利率期限结构的可预测性。

But it can not fully reflect the predictability of the bond excess returns . The predicting errors of the model for yield curves have obvious serial correlation .

实证表明估计出的CIR模型可以用于上交所债券的定价，但用于利率期限结构变化的预测会产生一定的系统偏差。

It is concluded that the estimated CIR model can be used to price bonds in the SSE , but it will cause some error when it is used to predict the change of yield curves .

在CKLS模型的基础上，笔者提出了一个加入跳跃过程的单因子利率期限结构模型。

In this paper , based on the model of CKLS , we develop a new one-factor term structure model of interest rates , which allows for jumps in interest rates .

接着，我们比较系统地回顾了国内外关于利率期限结构静态以及动态研究的发展过程，并着重评述了理论和实务中非常重要的CIR模型的相关研究。

We discuss about the theory and application significance of the study on the interest rate term structure . Followed we review systematically the research process on the term structure , and emphasis on the famous CIR model which is very important .

本文尝试寻找一种更多的利用市场即时信息的定价方法对利率期限结构进行研究，应用三叉树模拟技术构建Hull-White模型，并对当前中国债券市场上几种常用利率进行比较分析。

This paper tries to find a way to study the interest term structure of Chinese bond market with more market information . It focuses on the application of the tree model method and builds a Hull-White model to simulate the dynamic term structure .

LAD-LASSO方法是最新的变量选择方法，它的最大优势是可以在估计参数的同时选择变量，在本文的第八章中我们应用这种方法来拟合我国上海证券交易所交易的国债利率期限结构。

Furthermore , we apply LAD-LASSO to perform variable selection and parameter estimation simultaneously in Chapter 8 . The propose methods are used to estimate the Shanghai stock exchange term structure of interest rates with cubic spline function .

本文首先使用Nelson-Siegel模型拟合出2002年沪深交易所国债的利率期限结构，然后运用2因子、3因子主成分法及久期、凸度法对交易所上市的债券进行模拟套期保值。

By using Nelson - Siegel model , the paper derives the term structures for bonds in Shanghai & Shenzhen Security Exchange in 2002 , and use two - and three - principal components as well as traditional duration and convexity to simulate a hedging of portfolios .

在现有研究的基础上，本文试图基于Nelson-Siegel模型对我国国债利率期限结构的拟合和预测进行理论和实证研究。首先，本文对Nelson-Siegel模型进行修正，将国债供给因素加入其中。

Following the present researches , this thesis tries to do some systematic researches on fitting and forecasting the term structure of interest rate of government bonds in China , based on the Nelson-Siegel model . Firstly , we modify the Nelson-Siegel model by adding the government bond supply factor .

应用M-T-M模型，根据考虑了住房贷款提前清偿风险、国债市场利率期限结构的住房贷款价值的变动情况对贷款初期利率进行年度的定价调整。

As the basis ; ( 2 ) To adjust the subsequently annual mortgage loan interest rate by using M-T-M model to confirm the alteration of value of the mortgage loan which related with the prepayment risk and term structure of interest rate in national debt market .

债券市场利率期限结构分析及其风险管理研究

Term Structure and Interest Rate Risk Management in Chinese Bond Markets

随机波动利率期限结构的有效矩估计

Efficient Moment Estimation for Stochastic Volatility Term Structure of Interest Rate

随机均值短期利率期限结构模型与均衡

Stochastic Mean-Value Term Structure Model of Short-Term Interest Rate and Equilibrium