[1] BRENNER R J, HARJES R H, KRONER K F. Another look at models of the short-term interest rate[J]. Journal of Financial and Quantitative Analysis, 1996, 31(1): 85-107. [2] 杨爱军,刘晓星,蔡则祥.银行间同业拆放利率风险度量:基于EGARCH-SGED模型的实证分析[J].金融理论与实践,2012(8):8-12. [3] 李旭超,蒋岳祥.Shibor的波动特征和动态风险分析—基于AR-TARCH-EVT模型的实证研究[J].南方经济,2014(5):42-51,68. [4] HASSANI H, YEGANEGI M R, CUNADO J, et al. Forecasting interest rate volatility of the United Kingdom: Evidence from over 150 years of data[J]. Journal of Applied Statistics, 2020, 47(6): 1128-1143. [5] 孔继红.基于非对称扩散跳跃过程的利率模型研究[J].数量经济技术经济研究,2014,31(11):103-117,145. [6] 孔继红,易志高.上海银行间同业拆放利率动态性研究[J].数理统计与管理,2016,35(6):1125-1140. [7] JOSLIN S, KONCHITCHKI Y. Interest rate volatility, the yield curve, and the macroeconomy[J]. Journal of Financial Economics, 2018, 128(2): 344-362. [8] 尚玉皇,郑挺国.短期利率波动测度与预测: 基于混频宏观-短期利率模型[J].金融研究,2016(11):47-62. [9] 刘金全,王国志,付卫艳.经济政策不确定性下货币政策有效性研究[J].中南大学学报(社会科学版),2021,27(2):126-139. [10] BALCILAR M, GUPTA R, KIM W J, et al. The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea[J]. International Review of Economics & Finance, 2019, 59: 150-163. [11] WANG X, LUO Y, WANG Z, et al. The impact of economic policy uncertainty on volatility of China's financial stocks: An empirical analysis[J]. Finance Research Letters, 2021, 39: 101650. [12] 陈国进,张润泽,赵向琴.经济政策不确定性与股票风险特征[J].管理科学学报,2018,21(4):1-27. [13] 夏婷,闻岳春.经济不确定性是股市波动的因子吗?—基于GARCH-MIDAS模型的分析[J].中国管理科学,2018,26(12):1-11. [14] CHEN L, DU Z, HU Z. Impact of economic policy uncertainty on exchange rate volatility of China[J]. Finance Research Letters, 2020, 32: 101266. [15] ZHOU Z, FU Z, JIANG Y, et al. Can economic policy uncertainty predict exchange rate volatility? New evidence from the GARCH-MIDAS model[J]. Finance Research Letters, 2020, 34: 101258. [16] ENGLE R F, GHYSELS E, SOHN B. Stock market volatility and macroeconomic fundamentals[J]. Review of Economics and Statistics, 2013, 95(3): 776-797. [17] 迟国泰,段翀.基于时变跳跃次数的基准利率风险测算研究[J].管理科学学报,2017,20(7):86-103. [18] 李少育,黄泓人.基于三因素过程的利率连动息票研究[J].管理科学学报,2019,22(2):36-51. [19] BAKER S R, BLOOM N, DAVIS S J. Measuring economic policy uncertainty[J]. The Quarterly Journal of Economics, 2016, 131(4): 1593-1636. [20] HOU A J, SUARDI S. Modelling and forecasting short-term interest rate volatility: A semiparametric approach[J]. Journal of Empirical Finance, 2011, 18(4): 692-710. |