發(fā)布時(shí)間：2018-02-22 01:37

  本文關(guān)鍵詞： 利率期限結(jié)構(gòu) 樣條函數(shù) 節(jié)點(diǎn)選取 懲罰分位數(shù)回歸 M-SCAD　出處：《中國(guó)科學(xué)技術(shù)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：利率期限結(jié)構(gòu),它是用來(lái)描述在一個(gè)時(shí)點(diǎn)上,具有相同風(fēng)險(xiǎn)度的條件下,對(duì)應(yīng)的收益率與它對(duì)應(yīng)的時(shí)間長(zhǎng)度之間的關(guān)系,在金融領(lǐng)域當(dāng)中,該課題一直是一個(gè)重要的研究熱點(diǎn)。隨著中國(guó)利率市場(chǎng)化進(jìn)程的不斷推進(jìn),這使得開(kāi)展利率期限結(jié)構(gòu)的相關(guān)研究越發(fā)重要。因此,構(gòu)造一條可靠穩(wěn)定完整的利率期限結(jié)構(gòu)曲線越來(lái)越重要。 本文第一部分首先回顧債券市場(chǎng)的基本理論,包括債券定價(jià)公式和多種期限結(jié)構(gòu)曲線的基本知識(shí)。繼而,詳盡歸納概括了國(guó)內(nèi)外學(xué)者對(duì)于利率期限構(gòu)造的一些靜態(tài)模型以及對(duì)應(yīng)的優(yōu)缺點(diǎn),國(guó)內(nèi)外學(xué)者的一些模型有：多項(xiàng)式樣條函數(shù)模型,指數(shù)樣條基模型,疊加指數(shù)函數(shù)模型,B-樣條基模型,平滑樣條基模型。通過(guò)理論及已有實(shí)證模型的分析,分別對(duì)各個(gè)模型的優(yōu)缺點(diǎn)進(jìn)行了總結(jié)。 本文第二部分包括第三章和第四章,為本文的重點(diǎn),主要探討如何構(gòu)造利率期限結(jié)構(gòu),以及如何對(duì)構(gòu)造模型的參數(shù)進(jìn)行估計(jì)。雖然不少學(xué)者對(duì)利率期限構(gòu)造的實(shí)證研究已日臻完善,可是仍需要我們不斷完善對(duì)于它的研究。第三章,在綜合考慮分位數(shù)回歸與LAD-LASSO的基礎(chǔ)上,將Wu(2009)提出的懲罰分位數(shù)回歸方法引入到利率期限構(gòu)造中,該模型采用非凹懲罰函數(shù)使得模型比較穩(wěn)定,同時(shí)保留了LAD-LASSO的一些優(yōu)點(diǎn),可以同步實(shí)現(xiàn)參數(shù)估計(jì)與節(jié)點(diǎn)選擇,并且最小一乘回歸是分位數(shù)回歸的一種特例。第四章,在Fan(2001)提出的一個(gè)非凹懲罰函數(shù)SCAD(Smoothing Clipped Absolute Deviation)的基礎(chǔ)上,采用大M估計(jì)方法(Huber1981),構(gòu)造利率期限結(jié)構(gòu)模型。該模型拓展了LAD-LASSO且可以同步實(shí)現(xiàn)節(jié)點(diǎn)選擇和參數(shù)估計(jì)。我們?cè)诘谒恼虏捎眠@種方法來(lái)構(gòu)造上海證券交易所發(fā)行債券的利率期限結(jié)構(gòu),實(shí)證分析表明,該方法有較好的穩(wěn)健性,并且在樣本外預(yù)測(cè)結(jié)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(yù)測(cè)的精度。 文章的結(jié)尾,對(duì)本文主題內(nèi)容和重要的結(jié)果進(jìn)行了概括歸納,并提出了兩個(gè)日后可以作進(jìn)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(xué)位授予單位】：中國(guó)科學(xué)技術(shù)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1523340