基于变差理论的利率基准性已实现波动分析  

Realized Volatility Analysis of Bench-mark Interest Rates Based on Power Variation Theory

作　　者：李海涛[1] 方兆本[1] 

机构地区：[1]中国科技大学统计与金融系,安徽合肥230027

出　　处：《数理统计与管理》2010年第4期687-697,共11页Journal of Applied Statistics and Management

摘　　要：从利率波动状况的角度,利用变差理论,对我国的三种利率体系短期利率的波动状况进行研究并分离出利率的跳跃过程。结果表明相对Libor美元报价利率的波动性,我国的利率短期品种波动性表现较为剧烈,跳跃现象频繁,这三种利率体系尚不能完全独立地作为我国货币市场的基准利率。但作为定价基准,回购定盘利率更适合做隔夜和一周的参考利率,Shibor一月期限的拆借利率要优于Chibor的一月拆借利率。本文结论有利于市场主体选择金融资产收益率的定价标准以及衡量国内利率体系的合理性。Our research aims to interpret the fluctuation of short-term interest rates in monetary market and extract the underlying jumps process.In contrast with the Libor USD quotation volatility,we conclude that the correspondence of short-term interest rates in china all be somewhat over-fluctuated, along with a high frequent jumps process,which is not supposed to be the reasonable phenomenon of benchmark interest rates.We suggest that the Fixed Repurchase rates would be the best choices for overnight and one-week term rate,and one-month term rate of Shibor is better that Chibor＇s.Our conclusion is beneficial when people choose the financial returns reference rate,also the rationality of domestic benchmark rate system evaluated.

关 键 词：基准利率 半鞅 二次变差 幂变差 双幂变差 已实现波动 

分 类 号：O212[理学—概率论与数理统计]