Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes

Xili Zhang

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Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes

机译：基于单因素短利率过程的上海银行间同业拆借利率动力学模型

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Using the Shanghai Interbank Offered Rate data of overnight, 1 week, 2 week and 1 month, this paper provides a comparative analysis of some popular one-factor short rate models, including the Merton model, the geometric Brownian model, the Vasicek model, the Cox-Ingersoll-Ross model, and the mean-reversion jump-diffusion model. The parameter estimation and the model selection of these single-factor short interest rate models are investigated. We document that the most successful model in capturing the Shanghai Interbank Offered Rate is the mean-reversion jump-diffusion model.

机译：利用隔夜，1周，2周和1个月的上海银行同业拆借利率数据，本文对一些流行的单因素短期利率模型进行了比较分析，包括默顿模型，几何布朗模型，Vasicek模型， Cox-Ingersoll-Ross模型和均值回归跳跃扩散模型。研究了这些单因素短期利率模型的参数估计和模型选择。我们记录到，获取上海银行同业拆放利率最成功的模型是均值回归跳跃扩散模型。

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《Mathematical Problems in Engineering》 |2014年第8期|540803.1-540803.12|共12页
作者
Xili Zhang;
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School of Management, Zhejiang University, Hangzhou 310058, China;

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1. Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes [J] . XiliZhang Mathematical Problems in Engineering: Theory, Methods and Applications . 2014,第4期

机译：基于单因素短利率过程的上海银行间同业拆借利率动力学建模
2. Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes [J] . XiliZhang Mathematical Problems in Engineering: Theory, Methods and Applications . 2014,第4期

机译：基于单因素短利率过程的上海银行间同业拆借利率动力学建模
3. Chaos recognition and fractal analysis in the term structure of Shanghai Interbank Offered Rate [J] . Rongbao Gu, Xi Chen, Xinjie Li Physica, A. Statistical mechanics and its applications . 2014,第Null期

机译：上海银行间同业拆借利率期限结构的混沌识别与分形分析
4. Empirical Research on the nonlinear Relationship between the short and the long Shanghai Interbank Offered Rates [C] . HE Qi-zhi International Conference on Computer Science and Software Engineering . 2008

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7. Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes [O] . Xili Zhang 2014

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Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes

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