基于Q-SCAD的样条函数法拟合国债利率期限结构

doi:10.3969/j.issn.0253-2778.2015.03.012

中国科学技术大学学报 ›› 2015, Vol. 45 ›› Issue (3): 254-258.DOI: 10.3969/j.issn.0253-2778.2015.03.012

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基于Q-SCAD的样条函数法拟合国债利率期限结构

郭键鸿，程希骏，刘峰

中国科学技术大学管理学院统计与金融系，安徽合肥 230026

收稿日期:2013-10-10 修回日期:2014-01-25 接受日期:2014-01-25 出版日期:2014-01-25 发布日期:2014-01-25
通讯作者: 程希骏
作者简介:郭键鸿，男，1988年生，硕士. 研究方向：金融工程. E-mail: gjh688@qq.com
基金资助:
中国科学院知识创新工程重要方向项目（KJCX3-SYW-S02）资助.

Building the term structure of interest rates with splines based on Q-SCAD

GUO Jianhong, CHENG Xijun, LIU Feng

Dept. of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China

Received:2013-10-10 Revised:2014-01-25 Accepted:2014-01-25 Online:2014-01-25 Published:2014-01-25

摘要/Abstract

摘要： 将惩罚分位数回归SCAD方法引入样条函数并以此来构建国债利率期限结构模型.该方法可以实现自动选取最优分位数，并同步完成模型中的节点选择和参数估计.样本外预测结果显示，与传统的方法相比，新方法可以有效地选择合适的模型，增加参数估计的稳健性，提高预测的精度，增强利率期限结构定价的准确度.

关键词: 期限结构, 样条函数, 节点选择, Q-SCAD

Abstract: Penalized quantile regression with the SCAD was introduced into the spline function to build the term structure of interest rates of treasure bills. This method can automatically select the optimal quantile and complete the models knot selection and parameter estimation at the same time. The out-of-sample forecasting results show that, compared with the traditional methods, the new method can select the appropriate model effectively, increase the robustness of parameter estimation, improve forecast accuracy and enhance the pricing precision of the term structure of interest rates.

Key words: term structure, spline function, knot selection, Q-SCAD

中图分类号:

F830.9

郭键鸿，程希骏，刘峰. 基于Q-SCAD的样条函数法拟合国债利率期限结构[J]. 中国科学技术大学学报, 2015, 45(3): 254-258.

GUO Jianhong, CHENG Xijun, LIU Feng. Building the term structure of interest rates with splines based on Q-SCAD[J]. Journal of University of Science and Technology of China, 2015, 45(3): 254-258.

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基于Q-SCAD的样条函数法拟合国债利率期限结构

Building the term structure of interest rates with splines based on Q-SCAD

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