上海证券交易所R091国债回购利率行为的描述与分析

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W?4W?BollerslevTim?FRayYChou?FKennethF.Kroner?F ARCHModelinginFinance:AReviewoftheTheo- ryandEmpiricalEvidence[J].JournalofEconomet- rics?F1992?F52:5W?59 [5]AndersenTG?FLundJ.Estimatingcontinuous-time stochasticvolatilitymodels[J+8.JournalofEcono- metrics?F1997?F77:343{ [6]BaliTG.Modelingthestochasticbehaviorofshort- terminterestrates:Pricingimplicationsfordiscount bonds[J+).JournalofBankingandFinance?F2003, 27:201? [7]BrennerRJ?FHarjesRH?FKronerKF.Another lookatmodelsoftheshort-terminterestrate[J] JournalofFinancialandQuantitativeAnalysis?F 1996?F31:85k ?_ ?_ - ?A ?F W? ?_ ?v ?? ????interestratea(Kl??Od?F?p??observationindexa(?? ?h??K”???????????F??W]?n????K”???[1191??1206Wp???? ???z???h.-delta??delta-33.3%?f???b?/??W;????\? ?{??W?2delta??2delta-5%?f???b?/??W;????\??{???F ????interestratea(???ZKl???/???F????forecastrate- ???h??Kl???/?? W]14Wp?1W?33.3%?f???b?/??W;????\??{??W]?F W??C1Wp?1?i5%?f???b?/??????\??{??Wh?5+0W? 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