经济数学2017，Vol.34Issue(1)：59-64,6.
香港银行间同业拆借利率的非参数统计分析
Nonparametric Analysisof Hong Kong Inter Bank Offered Rate
黄亚伟1
作者信息
- 1. 武汉大学 数学与统计学院,湖北 武汉 430072
- 折叠
摘要
Abstract
The short-term interest rate model was used to analyze the Hong Kong inter bank offere drate (Hibor), and the basic features of the Hong Kong inter bank offered rate in the last ten years were revealed.The stationarity of the whole data process may not be guaranteed, so the nonparametric statistical methods were applied.The functional nonparametric estimations of drift and diffusion terms and the localtime of the process were obtained by using Bandi's method.Empirical analysis shows that the data has a different feature before and after 1999,and spatial density of the process appears to be bimodal.关键词
香港银行同业拆借利率/非参估计/局部时过程Key words
HIBOR/nonparametric estimation/local time分类
管理科学引用本文复制引用
黄亚伟..香港银行间同业拆借利率的非参数统计分析[J].经济数学,2017,34(1):59-64,6.
