|
|
The Dynamic Term Structure NS Model Based on Local Linear Approximation |
WEN Xing-Yi, LI Shi |
1.Chengdu Branch the People’s Bank of China, Chengdu, China;
2. Southwestern University of Finance and Economics, Chengdu, China |
|
|
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.
|
Received: 20 May 2012
|
|
|
|
|
|
|