Analysis of Parameter Sensitivity for the NSS Model of Term Structure Based on the Genetic Algorithm

被引：0
|
作者：
Zhou Rongxi [1 ]
Liu Hanzhang [1 ]
Zou Lin [2 ]
机构：
[1] Univ Int Business & Econ, Sch Finance, Beijing 100029, Peoples R China
[2] Renmin Univ China, Sch Econ, Beijing 100872, Peoples R China
来源：
2017 29TH CHINESE CONTROL AND DECISION CONFERENCE (CCDC) | 2017年
关键词：
Term Structure of Interest Rate; Nelson-Siegel Model; Genetic Algorithm; Sensitivity Analysis; NELSON-SIEGEL MODEL; INTEREST-RATES;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The term structure of interest rate is an important foundation for studies such as asset pricing and risk management. In this paper, the sensitivity of parameters in the NSS model of the yield curve is studied with the help of genetic algorithm, and the impact of the relevant parameter setting on the fitting precision of the model is also discussed. Based on the positive analysis of Chinese Treasury Bonds data, it is found that the parameter setting in the model has a significant effect on the fitting precision, but the effect varies due to different parameters. It also leads methodological support to precisely and conveniently employ the NSS model.
引用
收藏
页码：3262 / 3265
页数：4
相关论文
共 50 条
  • [1] Genetic algorithm based parameter estimation of Nash model
    Dong, Si-Hui
    WATER RESOURCES MANAGEMENT, 2008, 22 (04) : 525 - 533
  • [2] Genetic Algorithm Based Parameter Estimation of Nash Model
    Si-Hui Dong
    Water Resources Management, 2008, 22 : 525 - 533
  • [3] Genetic algorithm based MOSFET model parameter extraction
    Keser, M
    Joardar, K
    2000 INTERNATIONAL CONFERENCE ON MODELING AND SIMULATION OF MICROSYSTEMS, TECHNICAL PROCEEDINGS, 2000, : 341 - 344
  • [4] Parameter estimation of a monod-type model based on genetic algorithms and sensitivity analysis
    Roeva, Olympia
    LARGE-SCALE SCIENTIFIC COMPUTING, 2008, 4818 : 601 - 608
  • [5] Parameter Estimation and its Sensitivity Analysis of the MR Damper Hysteresis Model Using a Modified Genetic Algorithm
    Xue Xiaomin
    Sun Qing
    Zhang Ling
    Zhang Bin
    JOURNAL OF INTELLIGENT MATERIAL SYSTEMS AND STRUCTURES, 2009, 20 (17) : 2089 - 2100
  • [6] Heat Transfer Model and Parameter Optimization Model Based on Genetic Algorithm
    Li, Yuping
    Meng, Hongling
    Xu, Xianhong
    BASIC & CLINICAL PHARMACOLOGY & TOXICOLOGY, 2020, 126 : 126 - 127
  • [7] Genetic algorithm parameter analysis
    Belmont-Moreno, E
    PROGRESS OF THEORETICAL PHYSICS SUPPLEMENT, 2000, (138): : 460 - 461
  • [8] Semiconductor device model parameter extraction based on genetic algorithm
    Institute of Microelectronics, School of Electronics Engineering and Computer Science, Peking University, Beijing 100871, China
    Beijing Daxue Xuebao Ziran Kexue Ban, 2007, 5 (687-693):
  • [9] Parameter Calibration of VISSIM Simulation Model Based on Genetic Algorithm
    Muhan, Nuerlan
    Qin, Yong
    Zhang, Qinghua
    Yang, Yanfang
    Zhang, Zundong
    PROCEEDINGS OF THE 2013 INTERNATIONAL CONFERENCE ON ADVANCED COMPUTER SCIENCE AND ELECTRONICS INFORMATION (ICACSEI 2013), 2013, 41 : 591 - 596
  • [10] Analysis of Kinematic Parameter Identification Method Based on Genetic Algorithm
    Yang, Jing
    Jin, Lingyan
    Han, Zejie
    Zhao, Deming
    Hu, Ming
    INTELLIGENT ROBOTICS AND APPLICATIONS, ICIRA 2021, PT I, 2021, 13013 : 119 - 128
12345