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CEV模型的单位根检验研究 被引量：1

Testing for Unit Roots in CEV Model
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摘要 CEV模型(ConstantElasticityofVarianceModel)作为常用的利率模型,在实证分析中得到了广泛运用,但是其单位根检验一直被忽略或者被默认可以使用迪基-富勒检验。本文首次运用Box-Cox变换的技巧,针对CEV模型的单位根检验问题,找到了合适的统计量并且证明其渐进分布存在,然后通过蒙特卡罗方法求出了该统计量的分布表。得到了在大样本的情形下可以沿用迪基-富勒检验,但在小样本的情形下与迪基-富勒检验有所偏差的结论。 As a common interest rate model, CEV model （Constant Elasticity of Variance Model） has been widely used in the real life analysis. However, its unit root test has long been ignored or at most Dickey - Fuller Test is accepted as a valid test. In order to solve the unit root test problem of CEV model, it is the first in this paper to use Box - Cox transformation technique to find proper statistic variables and to prove the existence of its asymptotic distribution. Furthermore, a statistic variable distribution table is presented via Monte Carlo method. It is concluded in this paper that it is still valid to use Dickey - Fuller test for large samples while such test would generate errors for small samples.
作者 黄剑 小林正人
机构地区 广东金融学院 横滨国立大学
出处 《数量经济技术经济研究》 CSSCI 北大核心 2006年第4期128-135,共8页 Journal of Quantitative & Technological Economics
关键词 CEV模型 单位根检验 Box—Cox变换 蒙特卡罗方法 CEV Model Unit Root Test Box - Cox Transformation Monte Carlo Method
分类号 F064.1 [经济管理—政治经济学]
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参考文献9

  • 1Adkins, L. C. and Krehbiel, T. , Mean Reversion and Volatility of Short - Term London interbank Offer Rates an Empirical Comparison of Competing Models [J], International Review of Economics and Finance 8, 1999: 45-54.
  • 2Aquila, R.D. , Ronehetti, E. and Trojani, F. , Robust GMM Analysis of Models for the Short Rate Process [J], Journal of Empirical Finance 10, 2003. 373-397.
  • 3Basu, P. and Samanta, P. , Volatility and Stock Prices : Implication from a Production Model of Asset Pricing [J], Economics Letters 70, 2001: 229-235.
  • 4Brenner, R. J. , Harjes, R. H. and Kroner, K.F. , Another Look at Models of the Short - Term Interest Rate [J], Journal of Financial and Quantitative Analysis 31 (1), 1996. 84-105.
  • 5Chan, K.C. , Karolyi, G.A. , Longstaff, F. A. and Sanders, A.B. , An Empirical Comparison of Alternative Models of the Short - Term Interest Rate [J], J Finance 47 (3), 1992. 1209-1227.
  • 6Kalimipalli, M. and Susmel, R. , Regime - Switching Stochastic Volatility and Short - Term Interest Rates, Working paper, School of Business and Eeonomies, Wilfrid Laurier University, 2003.
  • 7Kobayashi, M. and Mcaleer, M. , Testing the Elasticity of Volatility with Respect to the Level ofAn Integrated process, Working paper, Yokohama National University, 2004.
  • 8Koedijk, K.G. , Nissen, F.G.J. , Schotman, P. C. and Wolfe, C.C.P. , The Dynamics of Short - Term Interest Rate Volatility Reconsidered [J], European Finance Review 1, 1997. 105-130.
  • 9Rodrigues, P.M.M. and Rubia, A. , Testing Non - stationarity in Short - term Interest Rates,Working paper, Faculty of Economics, University of Algarve, 2003.

同被引文献6

  • 1黄剑.CEV模型的单位根检验新方法[J].南方经济,2006,35(6):5-17. 被引量：1
  • 2Adkins,L.C. and Krehbiel,T.,1999, Mean Reversion and Volatility of Short-Term London Interbank Offer Rates an Empirical Comparison of Competing Models, International Review of Economics and Finance,8,45-54.
  • 3Aquila,R.D., Ronchetti,E. and Trojani,F.,2003, Robust GMM Analysis of Models for the Short Rate Process, Journal of Empirical Finance, 10,373-397.
  • 4Brenner, R.J., Harjes,R.H., and Kroner,K.F.,1996, Another Look at Models of the Short-Term Interest Rate, Journal of Financial and Quantitative A nalysis, 31(1),84-105 .
  • 5Chan,K.C., Karolyi,G.A., Longstaff, F.A. and Sanders,A.B.,1992, An Empirical Comparison of Alternative Models of the Short-Term Interest Rate, J Finance,47(3),1209- 1227.
  • 6Koedijk,K.G., Nissen,F.G.J., Schotman,P.C., and Wolfe,C.C.P.,1997, The Dynamics of Short-Term Interest Rate Volatility Reconsidered, European Finance Review, 1,105-130.
数量经济技术经济研究
2006年 第4期

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