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題名 | 以最大概似估計法進行"Extended Vasicek"利率期限結構模型之實證=A Maximum Likelihood Approach to Test the Extended Vasicek Model of the Term Structure of Interest Rates |
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作者 | 葉仕國; Yeh, Shih-kuo; |
期刊 | 管理學報 |
出版日期 | 19971200 |
卷期 | 14:4 1997.12[民86.12] |
頁次 | 頁533-557 |
分類號 | 562.12 |
語文 | chi |
關鍵詞 | 利率期限結構; 最大概似估計法; 混合資料; 隨機過程; Term structure of interest rate; Maximum likelihood estimation; Pooling data; Stochastic process; |
中文摘要 | 在近代以隨機過程為理論基礎所發展的利率期限結構模型當中,為了使模型的理 論價格能與市場上所觀察到的交易價格完全一致, 遂有所謂的 " 隨時間變動參數之模型 " 的出現,但這類模型卻有參數不易估計之缺憾。本文採用 Chen and Yang(1995a) 的方法, 針對此類模型中的 "Extended Vasicek" 模型予以重新組合和安排之後,便可以克服參數不 易估計之缺憾。本研究以混合資料 (pooling data) 計量方法配合著最大概似估計法 (MLE) 針對臺灣貨幣市場利率進行該模型的估計、檢驗工作, 經過與 Vasicek 模型比較對照之後 ,結果發現 Extended Vasicek 模型具有參數較為穩定、估計誤差較小、資料使用較為節省 等優點。 |
英文摘要 | Time dependent parametetr models are developed to fit current term structure perfectly among these models of the term structure of interest rates based on stochastic process. However, the disadvantage of such term structure models is that we can't estimate the time-varying parameters easily and directly. In this study we use the methodology developed in Chan and Yang (1995) to restructure the Extended Vasicek model which is a particular case of the time dependent parameter models. the problem that parameters can't be estimated easily disappears after proper arrangements are made. This paper combines pooling data econometrics approach with maximum likelihood estimation (MLE) technique to estimate and test the parameters of the Extended Vasicek model using the interest rates in Taiwan's money market. It is shown that parameters estimated by the Extended Vasicek model are more stable, more parsimonious in data using and less biased than those estimated by the Vasicek model. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。