NDLI: Empirical Research on Chinese Term Structure of Interest Rate Using Polynomial Splines

Content Provider	IEEE Xplore Digital Library
Author	He Dong-ping
Copyright Year	2008
Description	Author affiliation: Sch. of Finance & Public Adm., Anhui Univ. of Finance & Econ., Bengbu (He Dong-ping)
Abstract	Term structure of interest rates is a basic problem in the financial field. Especially in the process of China's marketization of interest rates, researching the term structure of interest rates has very important theoretical and practical significance to the development and improvement of China's financial market. The paper research the term structure of interest rate using the polynomial splines model. Especially the methods for heteroscedasticity of term structure model of interest rates are discussed and given empirical research. The empirical results show that the polynomial splines model can significantly decrease the errors of government bond pricing and is suitable for modeling the term structure of interest rate of China. The yield curve of the method for heteroscedasticity is more likely to that of the developed countries. We can get the conclusion that the method for heteroscedasticity is better than the method for the same variance through the pictures.
Starting Page	1012
Ending Page	1015
File Size	273285
Page Count	4
File Format	PDF
ISBN	9780769533360
DOI	10.1109/CSSE.2008.1455
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2008-12-12
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	interest rate Economic indicators Finance term structure Helium Environmental economics Spline Computer science heteroscedasticity Pricing Polynomials polynomial splines Bonding Software engineering
Content Type	Text
Resource Type	Article

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