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| 이자율 모형 (Vasicek, CIR, Nelson-Siegel)× | 최소제곱법(OLS) 회귀× | |
|---|---|---|
| 분야≠ | 재무학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1977 | 2019 |
| 창시자≠ | Vasicek (1977); Nelson & Siegel (1987) | Wooldridge (textbook treatment); classical least squares |
| 유형≠ | Term-structure / short-rate model | Linear regression |
| 원전≠ | 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 |
| 별칭≠ | term structure models, short-rate models, yield curve models, Vasicek model | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| 관련 | 5 | 5 |
| 요약≠ | 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). |
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