An empirical analysis of the interest rate behaviour in government bond market based on the term structure models of interest rates

被引：0

作者：

Zhang, SB ^{[1
]}

Qi, ZY ^{[1
]}

Zhang, YG ^{[1
]}

机构：

[1] Harbin Inst Technol, Sch Management, Harbin 150001, Peoples R China

来源：

PROCEEDINGS OF THE 2004 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS 1 AND 2 | 2004年

关键词：

term structure models of interest rate; Gauss estimation method; Government bond market;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In the paper, the author estimates the parameters of single-factor continuous time models of the term structure of interest rate by introducing the gauss estimation method using the programs of Gaussian language and the data from Government bond market. Compared with other estimation methods, the empirical results is very significant. Then we can understand the interest rate behavior in Government bond market more clearly.

引用

页码：1878 / 1882

页数：5

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