Abstract and Applied Analysis

Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model

Chaoqun Ma, Jian Liu, and Qiujun Lan

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Abstract

With the development of the Chinese interest rate market, SHIBOR is playing an increasingly important role. Based on principal component analysing SHIBOR, a two-factor Vasicek model is established to portray the change in SHIBOR with different terms. And parameters are estimated by using the Kalman filter. The model is also used to fit and forecast SHIBOR with different terms. The results show that two-factor Vasicek model fits SHIBOR well, especially for SHIBOR in terms of three months or more.

Article information

Source
Abstr. Appl. Anal., Volume 2014, Special Issue (2014), Article ID 539230, 7 pages.

Dates
First available in Project Euclid: 3 October 2014

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1412360636

Digital Object Identifier
doi:10.1155/2014/539230

Zentralblatt MATH identifier
07022579

Citation

Ma, Chaoqun; Liu, Jian; Lan, Qiujun. Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model. Abstr. Appl. Anal. 2014, Special Issue (2014), Article ID 539230, 7 pages. doi:10.1155/2014/539230. https://projecteuclid.org/euclid.aaa/1412360636


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