手法を比較
選択した手法を並べて確認できます。異なる行はハイライト表示されます。
| 金利モデル（ヴァシチェク、CIR、ネルソン・シーゲル）× | 最小二乗法 (OLS) 回帰× | |
|---|---|---|
| 分野≠ | ファイナンス | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1977 | 2019 |
| 提唱者≠ | Vasicek (1977); Nelson & Siegel (1987) | Wooldridge (textbook treatment); classical least squares |
| 種類≠ | Term-structure / short-rate model | Linear regression |
| 原典≠ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| 別名≠ | term structure models, short-rate models, yield curve models, Vasicek model | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| 関連 | 5 | 5 |
| 概要≠ | Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987). | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
| ScholarGateデータセット ↗ |
|
|