NDLI: A New Method for Heteroscedasticity of Term Structure Model Using Exponential Splines

Content Provider	IEEE Xplore Digital Library
Author	He Qi-zhi
Copyright Year	2007
Description	Author affiliation: Sch. of Stat., Anhui Univ. of Finance & Econ., Bengbu (He Qi-zhi)
Abstract	Exponential splines are introduced based on the definition of the spline bases. Exponential splines model of this paper and that of Martellini and Priaulet are proved to be the same in theory. Based on the Chinese treasury market's characteristic and oversea methods for estimating term structure of interest rates, heteroscedasticity of term structure model of interest rates is discussed and a new method for dealing with heteroscedasticity of term structure model, namely confirming a certain bond's size of variance according to its trading volume of the market is offered. Empirical research and comparison of this model with others are carried out using the data of Chinese treasury market. The results show that the method can significantly decrease the errors of government bond pricing. The new method is better than the foreign traditional method for dealing with heteroscedasticity of term structure model and is more suitable to our national fact.
Starting Page	4068
Ending Page	4071
File Size	109461
Page Count	4
File Format	PDF
ISBN	9781424413119
DOI	10.1109/WICOM.2007.1005
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2007-09-21
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Parameter estimation Economic indicators Forward contracts Government Finance Pricing Helium Bonding Statistics Spline
Content Type	Text
Resource Type	Article

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