Journal of Empirical Finance 37 (2016) 59–78

期限结构模型中的随机相关及风险溢价

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

摘要：论文分析了在允许潜在因素带来的随机相关，以及允许由风险带来的市场溢价这两种情形下的期限结构模型。我们证实了可以由此模型显著提高债券拟合水平和组合收益。然而，对风险价格的限制，对于债券的拟合和预测有负面影响；对相关因子的限制则对对冲收益有更负面的影响。论文建立的模型对于风险溢价具有良好的预测能力。在分析中一旦考虑我们模型中的因子，其他预测因子的影响将变得微不足道。

关键词：期限结构，随机相关，风险溢价，Wishart，仿射，多维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

原文链接：http://www.sciencedirect.com/science/journal/09275398

翻译：罗丹