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  • He Qi-zhi
  • 2007
Exponential splines are introduced based on the definition of the spline bases. Exponential splines model of this paper and that of Martellini and Priaulet are proved to be the same in theory. Based on the Chinese treasury market's characteristic and oversea methods for estimating term structure of interest rates, heteroscedasticity of term structure model(More)
  • He Qi-zhi
  • 2007
The traditional method of unit root test has been discussed and the method of unit root test under non-linear adjustment, exponential smooth transition autoregressive, has been introduced. Based on Chinese interbank repo rates, empirical tests are made: Nonlinearities of interest rates and their spreads have been tested, and unit root tests are paid to the(More)
  • He Qi-Zhi
  • 2008
In the process of China's marketization of interest rates, researching the term structure of interest rates has very important theoretical and practical significance to the development and improvement of China's financial market. In the paper, time series theories, such as GARCH and TGARCH model, are respectively applied to estimate the term structure of(More)
The development and deployment of private forecasting technologies could allow supply chain collaborations to take place without revealing any participants' data to the others, reaping the benefits of collaboration while avoiding the drawbacks. Atallah (2004) [1,3] is a step towards this goal, as it gives protocols for forecasting that reveal to the(More)
Based on Chinese treasury market's characteristic and oversea methods for estimating term structure of interest rates, a new model for computing Chinese term structure is represented. The empirical research and comparison of this model with others are carried out using the data of Chinese treasury market. The results show that the model can significantly(More)
  • He Qi-Zhi
  • 2008
The duration of a bond measures its price sensitivity to a change in its yield. It can thus be used to evaluate the risk exposure of the portfolio with respect to a change of the term structure, and it is useful for how to regulate the risk. The paper addresses the simple duration measure, which supposes that the term-structure curve is "flat" and shifts in(More)
  • He Qi-zhi
  • 2008
There is a great significance to research the interest rate risk based on the method of value at risk on the background of Chinapsilas gradual marketization of interest rates. The paper takes the overnight shibor as the target. First, introduce the calculating method for value at risk. Second, give the sample characters and the dynamic model of the yield(More)
  • He Qi-zhi
  • 2008
The introduction of Shanghai interbank offered rate (Shibor) will turn back the situation that our country has not really unified benchmark interest rate. The traditional method of unit root test and the method of unit root test under non-linear adjustment, exponential smooth transition autoregressive, have been discussed. Based on Shibor, empirical tests(More)
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