國債期貨交割期權(quán)價(jià)值的估計(jì)——基于門限自回歸模型(TAR)的視角.pdf

1、中圖分類號(hào)：學(xué)校代碼：10055UDC：密級(jí)：公開碩士學(xué)位論文國債期貨交割期權(quán)價(jià)值的估計(jì)——基于門限自回歸模型(TAR)的視角EstimatingtheValueofDeliveryOptionofTreasuryFutures:AThresholdAutegressive(TAR)ModelAspect論文作者王非凡指導(dǎo)教師趙紅梅副教授申請(qǐng)學(xué)位經(jīng)濟(jì)學(xué)碩士培養(yǎng)單位經(jīng)濟(jì)學(xué)院學(xué)科專業(yè)數(shù)量經(jīng)濟(jì)學(xué)研究方向計(jì)量經(jīng)濟(jì)學(xué)理論與應(yīng)用答辯委員會(huì)主席張曉峒

2、評(píng)閱人王健王群勇南開大學(xué)研究生院二○一七年四月AbstractIIAbstractIndertostudywhenanreversalarbitrageinpracticebetweenTreasuryfuturesspotshallbedonethispaperproposesanewsolution:theaticallyimpliedreporate(IRR)ofTreasuryfuturesshouldbehavediffere

3、ntlywhetherthereexistschancesofarbitragebetweenfuturesspottheIRRshouldregressmeintenselyduringarbitrageIRRscriticalvalueofarbitrageminusthecostoffundsisexactlythevalueofdeliveryoptionwhoseestimationisthemainpurposeofthis

4、paper.BasedonthisthreadthispaperestimatesthevalueofdeliveryoptionofTreasuryfuturesfromtheaspectofreversalarbitragepracticeusingthresholdautegressive(TAR)modeldiscoverstheexistenceofsinglethresholdwithHansen(1996)sthresho

5、ldeffecttestplottest.ThefactthattheestimatedTARmodelisconsistentwiththearbitragetheyproveinsomewaysthefeasibilityofthethreadestimationmethod.KeyWds:Treasuryfuturesimpliedreporate(IRR)deliveryoptionthresholdautegressive(T