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- W2349249969 abstract "This paper considering the current situation of the treasury security market in China,improves the FNZ model and Waggoner model from five aspects: the fitted object,the function in describing the roughness penalty,the method of estimating parameters,the optimal function and the sample.Then,we propose to approximate China's term structure of interest rates with the improved variable roughness penalty cubic smoothing spline approach.Also,this paper carries out an empirical work with the daily treasury security close prices data which are extracted from the SSE treasury security market.Finally,both the in-sample and out-of-sample results indicate the improved model,can reasonably fit the relatively integrated static term structure of interest rates in China." @default.
- W2349249969 created "2016-06-24" @default.
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- W2349249969 date "2009-01-01" @default.
- W2349249969 modified "2023-09-23" @default.
- W2349249969 title "Research on improving smoothing spline method to fit China's term structure of interest rates" @default.
- W2349249969 hasPublicationYear "2009" @default.
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