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Modeling the Dynamics of Chinese Spot Interest Rates
Generalized residuals Robust specification tests Robust M-estimation Spot rate
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2011/4/2
Understanding the dynamics of spot interest rates is important for derivatives pricing, risk
management, interest rate liberalization, and macroeconomic control. Based on a daily data of Chinese 7-da...
Joint Modelling of Gas and Electricity spot prices
Electricity markets spot price modelling ergodic diffusion
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2010/11/2
The recent liberalization of the electricity and gas markets has resulted in the growth of
energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity
spot prices...
Modeling the dynamics of Chinese spot interest rates
Spot rate models Term structure of interest rates Market segmentation Nonparametric specification tests
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2011/4/2
Using the daily data of Chinese 7-day repo rates from January 1, 1997 to December 31, 2008, this paper tests a variety of popular spot rate models, including single-factor diffusion, GARCH, Markov reg...
Nonparametric Specifiation Tests of Discrete Time Spot Interest Rate Models in China
Spot RateModels Nonparametric Speci… cation Tests Generalized residuals Probability Integral Transform Q-Stats
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2011/4/6
Understanding the dynamics of spot rates is very important for asset pricing, risk
management and interest rate liberalization. We examine a wide variety of popular
spot rate models in China, includ...
Testing Continuous-Time Models of the Spot Interest Rate
Testing Continuous-Time Models Spot Interest Rate
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2014/3/13
Testing Continuous-Time Models of the Spot Interest Rate.