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下面的文章已经引用:

• 标题: Testing Continuous-Time Interest Rate Model for Chinese Repo Market

  作者: Huimin Zhao, Fangping Peng

  关键词: Chinese Repo Market, Interest Rate, Nonparametric Estimation

  期刊名称: Journal of Mathematical Finance, Vol.5 No.1, January 29, 2015

  摘要: This paper tests the popular continuous-time interest rate models for Chinese repo market to address what and how the interest rates change with the marketlization in China. Using Bandi [1]’s method, we get the functional nonparametric estimation of drift and diffusion terms and the local time of the process. We find that the interest rates of China during the period from 1993 to 2003 are bimodal distributed and propose a two-regime model which can fit the data better. We also study the probabilities that the process will stay the two regimes respectively and its transition probability that the process transfers from one regime to another regime.