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CN 34-1054/N

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Building the term structure of interest rates with splines based on Q-SCAD

  • Dept. of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China

Cite this:
https://doi.org/10.3969/j.issn.0253-2778.2015.03.012
  • Received Date: 10 October 2013
  • Accepted Date: 25 January 2014
  • Rev Recd Date: 25 January 2014
  • Publish Date: 30 March 2015
    Abstract

  • Abstract

    Penalized quantile regression with the SCAD was introduced into the spline function to build the term structure of interest rates of treasure bills. This method can automatically select the optimal quantile and complete the models knot selection and parameter estimation at the same time. The out-of-sample forecasting results show that, compared with the traditional methods, the new method can select the appropriate model effectively, increase the robustness of parameter estimation, improve forecast accuracy and enhance the pricing precision of the term structure of interest rates.

    Abstract

    Penalized quantile regression with the SCAD was introduced into the spline function to build the term structure of interest rates of treasure bills. This method can automatically select the optimal quantile and complete the models knot selection and parameter estimation at the same time. The out-of-sample forecasting results show that, compared with the traditional methods, the new method can select the appropriate model effectively, increase the robustness of parameter estimation, improve forecast accuracy and enhance the pricing precision of the term structure of interest rates.
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    • References(10)
  • [1]
    McCulloch J H. Measuring the term structure of interest rates[J]. The Journal of Business, 1971, 44(1): 19-31.
    [2]
    Xiao Nan, Cheng Xijun．Fitting term structure of interest rate of domestic bonds market by robust spline[J]．Systems Engineering, 2007, 25(6): 35-40．
    萧楠，程希骏．抗差样条模型对我国国债利率期限结构的建模与实证[J]．系统工程，2007,25(6)：35-40．
    [3]
    Sun Zengxian, Cheng Xijun, Ma Lijun, et al. Fitting term structure of interest rate with splines based on quantile regression[J]．Systems Engineering, 2008, 26(11): 6-10．
    孙增献，程希骏，马利军,等. 基于分位数回归的样条函数法拟合国债利率期限结构[J]. 系统工程, 2008, 26(11): 6-10.
    [4]
    Li Yiyi, Pan Wanbin, Miao Baiqi. Knot selection of estimating the term structure with cubit spline function[J]. Systems Engineering Theory & Practice, 2009, 29(4): 28-33.
    李熠熠，潘婉彬，缪柏其. 基于三次样条的利率期限结构估计中的节点选择[J]. 系统工程理论与实践，2009，29(4): 28-33.
    [5]
    Li Yiyi，Pan Wanbin，Miao Baiqi. Knot selection of estimating the term structure with cubit spline function based on LAD-Lasso criterion[J]. Journal of University of Science and Technology of China, 2010, 40(6): 551-556.
    李熠熠，潘婉彬，缪柏其. 基于LAD-Lasso方法的利率期限结构拟合中的节点选择[J].中国科学技术大学学报,2010,40(6):551-556.
    [6]
    Fan Jianqing, Yao Qiwei. Nonlinear Time Series: Nonparametric and Parametric Methods[M]. New York: Springer, 2003.
    [7]
    Fan J, Li R. Variable selection via nonconcave penalized likelihood and its oracle properties[J]. Journal of the American Statistical Association, 2001, 96(456): 1 348-1 360.
    [8]
    Wu Y, Liu Y. Variable selection in quantile regression[J]. Statistica Sinica, 2009, 19(2): 801-817.
    [9]
    Wang H, Li R, Tsai C L. Tuning parameter selectors for the smoothly clipped absolute deviation method[J]. Biometrika, 2007, 94(3): 553-568.
    [10]
    Le Thi Hoai A, Tao P D. Solving a class of linearly constrained indefinite quadratic problems by DC algorithms[J]. Journal of Global Optimization, 1997, 11(3): 253-285.
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    [1]
    McCulloch J H. Measuring the term structure of interest rates[J]. The Journal of Business, 1971, 44(1): 19-31.
    [2]
    Xiao Nan, Cheng Xijun．Fitting term structure of interest rate of domestic bonds market by robust spline[J]．Systems Engineering, 2007, 25(6): 35-40．
    萧楠，程希骏．抗差样条模型对我国国债利率期限结构的建模与实证[J]．系统工程，2007,25(6)：35-40．
    [3]
    Sun Zengxian, Cheng Xijun, Ma Lijun, et al. Fitting term structure of interest rate with splines based on quantile regression[J]．Systems Engineering, 2008, 26(11): 6-10．
    孙增献，程希骏，马利军,等. 基于分位数回归的样条函数法拟合国债利率期限结构[J]. 系统工程, 2008, 26(11): 6-10.
    [4]
    Li Yiyi, Pan Wanbin, Miao Baiqi. Knot selection of estimating the term structure with cubit spline function[J]. Systems Engineering Theory & Practice, 2009, 29(4): 28-33.
    李熠熠，潘婉彬，缪柏其. 基于三次样条的利率期限结构估计中的节点选择[J]. 系统工程理论与实践，2009，29(4): 28-33.
    [5]
    Li Yiyi，Pan Wanbin，Miao Baiqi. Knot selection of estimating the term structure with cubit spline function based on LAD-Lasso criterion[J]. Journal of University of Science and Technology of China, 2010, 40(6): 551-556.
    李熠熠，潘婉彬，缪柏其. 基于LAD-Lasso方法的利率期限结构拟合中的节点选择[J].中国科学技术大学学报,2010,40(6):551-556.
    [6]
    Fan Jianqing, Yao Qiwei. Nonlinear Time Series: Nonparametric and Parametric Methods[M]. New York: Springer, 2003.
    [7]
    Fan J, Li R. Variable selection via nonconcave penalized likelihood and its oracle properties[J]. Journal of the American Statistical Association, 2001, 96(456): 1 348-1 360.
    [8]
    Wu Y, Liu Y. Variable selection in quantile regression[J]. Statistica Sinica, 2009, 19(2): 801-817.
    [9]
    Wang H, Li R, Tsai C L. Tuning parameter selectors for the smoothly clipped absolute deviation method[J]. Biometrika, 2007, 94(3): 553-568.
    [10]
    Le Thi Hoai A, Tao P D. Solving a class of linearly constrained indefinite quadratic problems by DC algorithms[J]. Journal of Global Optimization, 1997, 11(3): 253-285.
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