The Estimation And Comparison Of Dynamic Term Structure Models

As one of the most important price variables in the financial markets, among which the short-term interest rates are crucial to the pricing of fixed income securities and their derivatives, interests rates and its behaviors are always the highlight of financial research. As the interest rates gradually liberalized in China, the research about interest rate will be more and more. Under the present environment, this paper has a systemically research on issues about comparison of term-structure models and estimation methods of interest rate models.This paper totally considered one-factor and multi-factor interest rate models, and analyzed Shanghai Bond market interest rates using these models. Under the single-factor interest rate models, we compared estimation effect of all the models, and the empirically study found that the CKLS model was the best. Under the multi-factor interest rate models, the two-factor CIR interest rate model was the best in analyzing the term-structure yields implied in...