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Estimated term structure of interest rates

Author: SunZengXian
Tutor: ChengXiJun；HuTaiZhong；ZhangShuGuang
School: University of Science and Technology of China
Course: Financial Engineering
Keywords: Term Structure Quantile regression Robust Estimation Spline
CLC: F830.91
Type: Master's thesis
Year: 2009
Downloads: 179
Quote: 0
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Abstract


First, the paper reviews the data with the Treasury term structure of interest rates is estimated various methods , including: polynomial spline model (McCulloch), exponential spline models (Vasicek), B- spline model (Shea, Steeley), exponential curve model (Nelson , Siegel). By comparing theoretical discussed various models transaction costs in dealing with problems and stability issues on the difference . As the domestic bond market is small , floor trading is very active, and traders of different tax rates differ, in the estimation of the term structure of interest rates in the domestic market is susceptible to interference from abnormal pricing of bonds . The main work is preferred on the basis of existing models , the introduction of quantile regression method , I get a more robust estimate , and use the characteristics of quantile regression to identify what might be mispriced bonds. Although the term structure of interest rates, empirical research has matured , but a variety of new technologies is still emerging. This paper compares found that in the domestic market to do a similar study, it must be noted in the domestic market with foreign differences between mature markets , new technologies simply tracking the domestic market can not solve specific problems .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
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