日時 2000年 7月4日(火) 15時〜16時40分 場所 経済学部5階視聴覚室 講演者 施 招雲(統数研) 演題 Nonlinear time series modeling with respect to the trade off between prediction and dynamics 概要: As one of the most popular topics of common interest during recent decades, nonlinear time series modeling has attracted great attention from different disciplines, types of nonlinear model from different theoretical background have been so far developed by statisticians, dynamists, and computer scientists. This makes us wonder which one should be used to cope with our specific nonlinear problems. In the first of this talk, with respect to the subject of model evaluation, we will give discussion by reviewing some works on model construction and their applications, from perspective of prediction and dynamics extraction, to show the reasonability and limitations of some existing nonlinear models. Then, we will focus on modeling short-term interest rate being of current interest in the field of finance engineering. We will introduce a flexible parametric model that we have recently developed by considering the potential dynamics in interest rate processes. Empirical results will be given by the comparison between our model and other interest rate models by using LIBOR data and other benchmark interest rates, all are involved in developing a model of balance between predictability and interpretability (dynamics).