Abstract：Using the local linear approximation method, this article improves the dynamic NS model and raises the dynamic NS model based on the local linear approximation. Through collecting and analyzing data from China’s market, the authors compare the improved model with the original one in the sample fitting effect and prediction ability. The results show that the new model is much better in the sample fitting and prediction effect.
文兴易, 黎实. 基于局部线性逼近的利率期限结构动态NS模型[J]. J4, 2012, 9(7): 975-.
WEN Xing-Yi, LI Shi. The Dynamic Term Structure NS Model Based on Local Linear Approximation. J4, 2012, 9(7): 975-.
2012, Vol. 9 
