9号彩票

文字
缩放
增大字体
减小字体
澳大利亚国立大学 邹韬:Statistical Inference on Term Structure of Interest Rate Models with Bond Prices

([西财新闻] 发布于 :2018-07-10 )

光华讲坛——社会名流与企业家论坛第5062期

 

主题Statistical Inference on Term Structure of Interest Rate Models with Bond Prices

主讲人澳大利亚国立大学 邹韬

主持人金融学院  蔡栋梁博士

时间2018711  9:0010:30

地点西南财经大学柳林校区格致楼411会议室

主办单位:金融学院  科研处

 

主讲人简介:

澳大利亚国立大学助理教授,北京大学光华管理学院经济学博士,曾是澳大利亚莫纳什大学、美国爱荷华州立大学访问学者;主要从事金融统计和金融计量等方面的教学与研究工作;曾在Journal of EconometricsJournal of Business and Economic StatisticsJournal of American Statistical AssociationStatistica Sinica等国际知名期刊发表多篇论文。

内容简介:

Affine term structure models account for a wide range of interest rate models and have been used to describe the dynamic of bond prices in finance.The first part of this paper considers improving estimating parameters of diffusion processes for interest rates by incorporating information in bond prices. This is designed to improve the estimation of the drift parameters, which are known to be subject to large estima- tion errors. It is shown that having the bond prices together with the short rates leads to more efficient estimation of all parameters for the interest rate models. It enhances the estimation efficiency of the maximum likelihood estimation based on the interest rate dynamics alone. The combined estimation based on the bond prices and the interest rate dynamics can also provide inference to the risk premium parameter. Simulation experiments were conducted to confirm the theoretical properties of the estimators concerned.The second part of this paper proposes methods to determine the number of latent factors in the affine term structure models, which is an unresolved issue in the literatures of multi-factor modeling. By minimizing a proper penalized criterion function, the number of latent factors can be consistently estimated. It is also found that the proposed method is effective in identifying which bond prices are subject to pricing errors. The identification is required in the affine model estimation. Simulation experiments were conducted to confirm the theoretical properties of different penalty criteria.Finally, this paper analyzes the overnight Fed fund rates together with the U.S. Treasury bond prices by using the proposed methods.


☆该新闻已被浏览: 次★

打印本文】 【关闭窗口



友情链接:98彩票网  9号彩票  万彩会彩票  趣彩彩票  顺发彩票