中国银行间债券市场回购交易动态行为研究——基于已实现跳跃风险的分析  

Dynamic Repo Transactions of Chinese Interbank Bond Market:Evidences Based on Realized Jump Risk

作　　者：王春峰[1] 李晔[1] 房振明[2] 

机构地区：[1]天津大学管理学院 [2]天津大学金融工程研究中心

出　　处：《管理学报》2010年第7期1097-1101,共5页Chinese Journal of Management

基　　金：国家自然科学基金资助项目(70771076);国家杰出青年科学基金资助项目(70225002)

摘　　要：以二次幂变差的测量为理论基础,研究了银行间回购利率的跳跃风险。将已实现波动率分解为连续样本路径方差和离散跳跃方差。跳跃方差序列的统计特征表明,银行间短期利率的主要价格发现形式是跳跃。以此为基础,分析了银行间回购交易的动态行为。结果发现,跳跃行为在特征和成因上表现出了较之国外更为独特的特征。Based on theoretical results for bi-power variation measures,the jump behavior of realized volatility for interbank repo interest rate is examined.Realized volatility is divided into two parts： the continuous sample path variation and the discontinuous jump variation.The statistical feature of jump variation is studied and the result indicates that jump component of quadratic variation is the most important determinant for realized volatility.Based on this,the conclusion shows that there are more unique characteristics of jump and realized volatility than foreign markets and the pattern of jump of are contributed to a variety of factors.

关 键 词：跳跃过程 二次幂变差 市场微观结构 

分 类 号：C93[经济管理—管理学] F830.91