Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model
Joint Authors
Ma, Chaoqun
Liu, Jian
Lan, Qiujun
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-19
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
With the development of the Chinese interest rate market, SHIBOR is playing an increasingly important role.
Based on principal component analysing SHIBOR, a two-factor Vasicek model is established to portray the change in SHIBOR with different terms.
And parameters are estimated by using the Kalman filter.
The model is also used to fit and forecast SHIBOR with different terms.
The results show that two-factor Vasicek model fits SHIBOR well, especially for SHIBOR in terms of three months or more.
American Psychological Association (APA)
Ma, Chaoqun& Liu, Jian& Lan, Qiujun. 2014. Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1033828
Modern Language Association (MLA)
Ma, Chaoqun…[et al.]. Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model. Abstract and Applied Analysis No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-1033828
American Medical Association (AMA)
Ma, Chaoqun& Liu, Jian& Lan, Qiujun. Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1033828
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1033828
