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- W2392633725 abstract "The dynamics behavior of the short interest rate is very important for macro economic control,financial risk management and financial derivative pricing.Based on the monthly data of 7-day repo rates trading in Shanghai stock exchange,the investigation of dynamics of Chinese short rate by using parametric and nonparametric methods shows that there is significant evidence of nonlinear mean reversion and relative small volatility which is quite different from U.S.market." @default.
- W2392633725 created "2016-06-24" @default.
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- W2392633725 date "2011-01-01" @default.
- W2392633725 modified "2023-09-28" @default.
- W2392633725 title "Parametric and Nonparametric Analysis of the Short Interest Rate in Chinese Bond Market" @default.
- W2392633725 hasPublicationYear "2011" @default.
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