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There is a great significance to research the term structure of interest rate based on the background of China’s gradual marketization of interest rates. In the paper, the dynamic changing situations of buy-back rates are researched and time series theories, such as GARCH and EGARCH model, are respectively applied to estimate the term structure of buy-back rates. The empirical results show that (1)...
Central Bank has been promoting the market-based process of interest rate in recent years, and will foster Shanghai Interbank Offered Rate (Shibor) into benchmark interest rate. Time series theories, such as GARCH, TARCH and PARCH model, are respectively applied to estimate the term structure of Shibor. The empirical results show: First, as to the fitting results, the PARCH model is better than the...
Term structure of interest rates is a basic problem in the financial field. Especially in the process of China's marketization of interest rates, researching the term structure of interest rates has very important theoretical and practical significance to the development and improvement of China's financial market. The paper research the term structure of interest rate using the polynomial splines...
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