ON A TYPE I ERROR OF A RANDOM WALK HYPOTHESIS ON INTEREST RATES

被引：0

作者：

Akahori, Jiro ^{[1
]}

Liu, Nien-Lin ^{[2
]}

机构：

[1] Ritsumeikan Univ, Dept Math Sci, Shiga 5258577, Japan

[2] Ritsumeikan Univ, Grad Sch Math, Shiga 5258577, Japan

来源：

INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL | 2011年 / 7卷 / 01期

关键词：

Term structure of interest rates; Principal component analysis; Random walk hypothesis; BLACK-SCHOLES OPTION;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

In the present paper, we will establish a law of large numbers for the sample covariance matrix of the forward rates when random walk hypothesis (RWH) on the spot rates holds. The study is motivated by the result in [10] that says the forward rates have much more factors than the stylized belief, and aimed to explain the result as a "type I error" on RWH. Our result in this paper shows that the number of factors of the forward rates is greater than that of the spot rates but at most twice.

引用

页码：115 / 131

页数：17

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