威尼斯人

报告题目： Adaptive interest rate modelling

报告时间：2013年5月24日上午10点

报告地点：数学楼二楼学术报告厅

摘 要: A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates interest rate models with time varying parameters. In this paper, the local parameter approach is introduced to adaptively estimate interest rate models. This method can be generally used in time varying coecient parametric models. It is used not only to detect the jumps and structural breaks, but also to choose the largest time homogeneous interval for each time point, such that in this interval, the coecients are statistically constant. We use this adaptive approach and apply it in simulations and real data. Using the three month treasury bill rate as a proxy of the short rate, we nd that our method can detect both structural changes and stable intervals for homogeneous modelling of the interest rate process. In more unstable macroeconomy periods, the time homogeneous interval can not last long. Furthermore, our approach performs well in long horizon forecasting.

 

欢迎师生踊跃参加！