Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model
| Autor: | Chaoqun Ma, Jian Liu, Qiujun Lan |
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| Jazyk: | angličtina |
| Rok vydání: | 2014 |
| Předmět: | |
| Zdroj: | Abstract and Applied Analysis, Vol 2014 (2014) |
| Druh dokumentu: | article |
| ISSN: | 1085-3375 1687-0409 |
| DOI: | 10.1155/2014/539230 |
| Popis: | With the development of the Chinese interest rate market, SHIBOR is playing an increasingly important role. Based on principal component analysing SHIBOR, a two-factor Vasicek model is established to portray the change in SHIBOR with different terms. And parameters are estimated by using the Kalman filter. The model is also used to fit and forecast SHIBOR with different terms. The results show that two-factor Vasicek model fits SHIBOR well, especially for SHIBOR in terms of three months or more. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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