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Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/4780
Title: Testing interest rate models for China's repo market
Authors: Zhao, Huimin
Issue Date: 2005
Abstract: The goal of this paper is to test the interest rate models for China's repo market to understand the behavior of China short rate. I obtain the functional nonparametric estimates of drift and diffusion terms. Because the interest rate process may not be stationary and it has very different properties in two subperiods, I consider their local time estimation. Furthermore, I find that the density of the process is bimodal and it follows Vasicek model within each of the two subperiods. So I assume that the interest rate process also relies on a state variable in addition to short rate. I use a two-regime model to fit the data and study its properties, such as the probabilities that the process stays in one regime and transition probabilities from one regime to another.
Description: Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2005
viii, 49 leaves : ill. ; 30 cm
HKUST Call Number: Thesis FINA 2005 Zhao
URI: http://hdl.handle.net/1783.1/4780
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