Journal of Empirical Finance 37 (2016) 59–78

期限結構模型中的随機相關及風險溢價

作者：Carl Chiarella, Chih-Ying Hsiao, Thuy-Duong To

摘要：論文分析了在允許潛在因素帶來的随機相關，以及允許由風險帶來的市場溢價這兩種情形下的期限結構模型。我們證實了可以由此模型顯著提高債券拟合水平和組合收益。然而，對風險價格的限制，對于債券的拟合和預測有負面影響；對相關因子的限制則對對沖收益有更負面的影響。論文建立的模型對于風險溢價具有良好的預測能力。在分析中一旦考慮我們模型中的因子，其他預測因子的影響将變得微不足道。

關鍵詞：期限結構，随機相關，風險溢價，Wishart，仿射，多維CIR

Stochastic correlation and risk premia in term structure models

Carl Chiarella, Chih-Ying Hsiao, Thuy-Duong To

ABSTRACT

This paper analyzes a term structure model that allows for both stochastic correlation between underlying factors and an extended market price of risk specification. We show that significant improvement in bond fitting and portfolio performance is obtained by the model. However, the restriction on market price of risk has a more negative impact on bond price fitting and forecasting, whereas the restriction on correlated factors has a more negative impact on hedging performance. The model has good predictive power for bond risk premia. Once our model factors are taken into account, other predictive factors become insignificant.

Keywords: Term structure; Stochastic correlation; Risk premium; Wishart; Extended affine; Multidimensional CIR

原文鍊接：http://www.sciencedirect.com/science/journal/09275398

翻譯：羅丹