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文件名:  DTB3.txt
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还有这题,小女子真的是编程盲啊,实在无法handle,望各位好人懂的能指点指点啊,谢谢啊!感激不荆。。
Consider three real data sets for the U.S. Treasury bill (Secondary Market Rate): the daily 3-month Treasury bill from January 4, 1954 to May 2, 2007,in the data le DTB3.txt or DTB3.csv, the weekly 3-month Treasury bill from January 8, 1954 to April 27, 2007, in the data le WTB3MS.txt or WTB3MS.csv,and the monthly 3-month Treasury bill from January 1, 1934 to March 1, 2007,
in the data le TB3MS.txt or TB3MS.csv.
1. Apply the nonparametric regression estimation methods to estimate the drift and di usion functions for each series and higher moments such as skewedness and kurtosis.
2. Any conclusions and comments on three drift and di usion functions?Also, think about your conclusions on whether a jump di usion model is appropriate for the data; see Johannes (2004).
3. Compare your results with results in At-Sahalia (1996), Jiang and Knight (1997), and Stanton (1997).




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