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- W2373115390 abstract "After computing principal components of government bond data in China's inter-bank market from January 2002 to March 2006,we find that dynamic changes of interest rate can almost be explained by three factors.Based on this result,we develop a three-factor affine model and deduce the formula for pricing bonds.With the Kalman filter approach,the empirical research shows the model reconciles the time-series dynamics of yields with the cross-sectional shapes of the term structure.In the aspect of forecasting accuracy,relative errors of 0.5 and 1 year maturities are slightly more than that of 2,3,5 and 10 year maturities,which are within 1%." @default.
- W2373115390 created "2016-06-24" @default.
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- W2373115390 date "2006-01-01" @default.
- W2373115390 modified "2023-09-25" @default.
- W2373115390 title "A Three-Factor Model of Term structure of Interest in China's Inter-Bank Market" @default.
- W2373115390 hasPublicationYear "2006" @default.
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