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单因子利率期限结构模型的实证研究

Positive Research on Single-Factor Model of Interest Rate Term Structure
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摘要 利率期限结构的估计在金融研究中有着重要的地位,它是资产定价、金融产品设计、保值和风险管理的基准。本文运用极大似然函数法对单因子利率期限结构的模型参数进行了估计,对需要求解的非线性方程组运用牛顿法得出了最终的参数数值结果。结果表明,我国利率的均值回复效应和水平效应显著。
作者 胡柳 吴祖玉
出处 《宿州学院学报》 2006年第1期98-99,共2页 Journal of Suzhou University
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