中国期货价格期限结构模型实证分析

为准确估计和预测期货价格，提出以短期偏离和长期均衡为状态变量的二因素模型，该模型假设短期偏离变量和长期均衡变量服从均值回复过程。以中国期铜2000--2008年的日结算价为研究样本，运用卡尔曼滤波和极大似然法进行实证分析。结果表明，中国期铜价格受短期和长期因素的共同作用，到期期限越短，受短期因素影响越大。误差比较结果表明，该模型的拟合与预测能力优于其他二因素模型。

Empirical analysis on term structure models of futures prices in China

In order to estimate and forecast futures prices accurately, a two-factor model was put forward where short-term deviation and long-term equilibrium were regarded as state variables. And they were also assumed to follow a mean reverting process respectively. Taking daily settlement prices of copper futures from 2000 to 2008 as samples, the paper made empirical analysis by using Kalman filter and maximum likelihood method. The results indicate that the prices of copper futures are affected by both the short-term and long-term factors, and the shorter the maturity is, the greater the impact of short-term factor is. The comparing results of errors show that the estimation and forecast performances of this model are superior to other two-factor model.