密歇根大学李海涛教授在中国人民大学财政金融学院作了一场题为“仿射跳跃期限结构模型-期望困惑和条件波动”的讲座,中国人民大学财政金融学院已经发展成为国内财政金融领域的教学科研重镇,并成为教育部高等学校金融学类专业教学指导委员会秘书处和全国金融专业学位在职学习教育指导委员会秘书处所在单位。
仿射期限结构模型(ATSMs)忽略利率证据充分的跳跃和不同时捕获“的期望之谜”,并随时间变化的收益率的波动性。我们开发以下仿射跳跃扩散仿射跳期限结构模型(AJTSMs)与状态变量,并提供使用LIBOR三因素AJTSMs和掉期利率全面的实证分析。我们表明,跳转有利于进行抓拍,在短期和长期期限的条件偏度和收益率的峰度,并导致收益率条件波动性和风险的市场价格更加灵活的特定阳离子。两个子类的三要素AJTSMs同时捕获“的期望之谜”,并随时间变化的收益率波动。
原文:Affine term structure models (ATSMs) ignore well-documented jumps in interest rates and fail to simultaneously capture the “expectation puzzle” and time-varying yield volatility. We develop affine jump term structure models (AJTSMs) with state variables following affine jump-diffusions and provide a comprehensive empirical analysis of three-factor AJTSMs using LIBOR and swap rates. We show that jumps help to capture the conditional skewness and kurtosis of yields at short and long maturities and lead to more exible speci cations of conditional yield volatility and market prices of risks. Two sub-classes of three-factor AJTSMs simultaneously capture the“expectation puzzle”and time-varying yield volatility