作　　者： (何泽林）;

机构地区： 天津工业大学经济学院,天津300387

出　　处： 《中国国际财经（中英文版）》 2016年第12期47-51,共5页

摘　　要： 本文研究银行间国债市场现货交易实际收益率与对应NS曲线拟合收益率之间拟合残差确定的NS曲线的拟合精度，得到样本内通过NS曲线得到的拟合收益率在正负10BP、20BP、30BP范围的置信度为75％、90％、95％。进一步比较了正态分布以及t Location-Scale分布对拟合残差的估计效果，结果显示使用t Location-Scale分布能够更好的描述拟合残差的分布情况，并确定了样本内拟合残差的分布。 In this paper, the fitting accuracy of the NS curve of the inter-bank bond market spot trading and the NS curve fitting between the corresponding yield of the corresponding NS curve is studied. The fitting yield obtained by the NS curve in the sample is Negative 10BP, 20BP, 30BP range of confidence is 75%, 90%, 95%. The results show that the distribution of the residuals can be described better by using the t Location-Scale distribution, and the distribution of the residuals in the samples is determined by the t-location-scale distribution. Poor distribution.

关 键 词： 银行间国债现货 收益率曲线 模型 残差分布