本文關鍵詞： 利率期限結構 樣條函數 節(jié)點選取 懲罰分位數回歸 M-SCAD　出處：《中國科學技術大學》2014年碩士論文　論文類型：學位論文

【摘要】：利率期限結構,它是用來描述在一個時點上,具有相同風險度的條件下,對應的收益率與它對應的時間長度之間的關系,在金融領域當中,該課題一直是一個重要的研究熱點。隨著中國利率市場化進程的不斷推進,這使得開展利率期限結構的相關研究越發(fā)重要。因此,構造一條可靠穩(wěn)定完整的利率期限結構曲線越來越重要。 本文第一部分首先回顧債券市場的基本理論,包括債券定價公式和多種期限結構曲線的基本知識。繼而,詳盡歸納概括了國內外學者對于利率期限構造的一些靜態(tài)模型以及對應的優(yōu)缺點,國內外學者的一些模型有：多項式樣條函數模型,指數樣條基模型,疊加指數函數模型,B-樣條基模型,平滑樣條基模型。通過理論及已有實證模型的分析,分別對各個模型的優(yōu)缺點進行了總結。 本文第二部分包括第三章和第四章,為本文的重點,主要探討如何構造利率期限結構,以及如何對構造模型的參數進行估計。雖然不少學者對利率期限構造的實證研究已日臻完善,可是仍需要我們不斷完善對于它的研究。第三章,在綜合考慮分位數回歸與LAD-LASSO的基礎上,將Wu(2009)提出的懲罰分位數回歸方法引入到利率期限構造中,該模型采用非凹懲罰函數使得模型比較穩(wěn)定,同時保留了LAD-LASSO的一些優(yōu)點,可以同步實現參數估計與節(jié)點選擇,并且最小一乘回歸是分位數回歸的一種特例。第四章,在Fan(2001)提出的一個非凹懲罰函數SCAD(Smoothing Clipped Absolute Deviation)的基礎上,采用大M估計方法(Huber1981),構造利率期限結構模型。該模型拓展了LAD-LASSO且可以同步實現節(jié)點選擇和參數估計。我們在第四章采用這種方法來構造上海證券交易所發(fā)行債券的利率期限結構,實證分析表明,該方法有較好的穩(wěn)健性,并且在樣本外預測結果顯示,與傳統(tǒng)方法相比該模型可以選擇合適的模型,提高預測的精度。 文章的結尾,對本文主題內容和重要的結果進行了概括歸納,并提出了兩個日后可以作進一步研究的方向。
[Abstract]:The term structure of interest rates, which is used to describe the relationship between the corresponding rate of return and the corresponding length of time at a time point with the same degree of risk, in the field of finance. This subject has always been an important research hotspot. With the development of interest rate marketization in China, it is more and more important to carry out the research on the term structure of interest rate. It is more and more important to construct a reliable, stable and complete term structure curve of interest rate. The first part of this paper reviews the basic theory of bond market, including the basic knowledge of bond pricing formula and various term structure curves. Some static models of interest rate term construction and their advantages and disadvantages are summarized in detail. Some models of scholars at home and abroad include polynomial spline function model, exponential spline base model, and so on. The superposition exponential function model is composed of B-spline basis model and smooth spline basis model. The advantages and disadvantages of each model are summarized through the analysis of theory and existing empirical models. The second part of this paper includes the third chapter and the 4th chapter, which is the focus of this paper, mainly discusses how to construct the term structure of interest rate. And how to estimate the parameters of the construction model. Although many scholars' empirical research on term construction of interest rate has been improved, we still need to improve the research on it. On the basis of considering the quantile regression and LAD-LASSO, the penalty quantile regression method proposed by Wu Ying-2009) is introduced into the term construction of interest rate. The model uses non-concave penalty function to make the model more stable, while retaining some advantages of LAD-LASSO. Parameter estimation and node selection can be realized synchronously, and the least multiplicative regression is a special case of quantile regression. Chapter 4th, on the basis of a non-concave penalty function, SCAD(Smoothing Clipped Absolute selection, is proposed in chapter 4th. A term structure model of interest rate is constructed by using large M estimation method, which extends LAD-LASSO and synchronously implements node selection and parameter estimation. In Chapter 4th, we use this method to construct bonds issued by Shanghai Stock Exchange. Interest rate term structure, The empirical analysis shows that the proposed method is robust and the prediction results outside the sample show that the model can select a suitable model and improve the prediction accuracy compared with the traditional method. At the end of the paper, the main contents and important results of this paper are summarized, and two possible directions for further study are put forward.
【學位授予單位】：中國科學技術大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

【參考文獻】

相關期刊論文 前10條

1 蕭楠;程希駿;;抗差樣條模型對我國國債利率期限結構的建模與實證[J];系統(tǒng)工程;2007年06期

2 孫增獻;程希駿;馬利軍;劉杰;;基于分位數回歸的樣條函數法擬合國債利率期限結構[J];系統(tǒng)工程;2008年11期

3 姚長輝,梁躍軍;我國國債收益率曲線的實證研究[J];金融研究;1998年08期

4 趙宇齡;中國國債收益率曲線構造的比較分析[J];上海金融;2003年09期

5 陳雯,陳浪南;國債利率期限結構:建模與實證[J];世界經濟;2000年08期

6 李熠熠;潘婉彬;繆柏其;;基于三次樣條的利率期限結構估計中的節(jié)點選擇[J];系統(tǒng)工程理論與實踐;2009年04期

7 鄭振龍,林海;中國市場利率期限結構的靜態(tài)估計[J];武漢金融;2003年03期

8 楊大楷,王歡;關于我國國債收益率曲線的再研究[J];揚州大學稅務學院學報;1999年03期

9 程希駿;蕭楠;;基于穩(wěn)健估計的樣條函數法對國債利率期限結構的擬合[J];中國科學技術大學學報;2006年12期

10 李熠熠;潘婉彬;繆柏其;;基于LAD-Lasso方法的利率期限結構擬合中的節(jié)點選擇[J];中國科學技術大學學報;2010年06期

，

本文編號：1523340