An Empirical Analysis of the Interest Rate Behavior in Government Bond Market based on the Term Structure Models of Interest Rates

摘要

In the paper, the author estimates the parameters of single-factor continuous time models of the term structure of interest rate by introducing the gauss estimation method using the programs of Gaussian language and the data from Government bond market. Compared with other estimation methods, the empirical results is very significant. Then we can understand the interest rate behavior in Government bond market more clearly.