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Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model
With the development of the Chinese interest rate market, SHIBOR is playing an increasingly important role. Based on principal component analysing SHIBOR, a two-factor Vasicek model is established to portray the change in SHIBOR with different terms. And parameters are estimated by using the Kalman...
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| Main Authors: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Hindawi Limited
2014-01-01
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| Colecção: | Abstract and Applied Analysis |
| Acesso em linha: | http://dx.doi.org/10.1155/2014/539230 |
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