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中文摘要：
构建随机波动率的两因子模型，应用两阶段半参数方法估计模型中的常系数参数，使用核估计方法估计长期均值函数，给出了两阶段估计方法的相容性和参数的渐近性性质．实证结果表明了对比常系数模型，引入长期均值函数模型将会改善似然函数估计值，而且也能够很好地解释中央银行和政府已实施政策的有效性．此外，可以在不增加维数的条件下。使用该模型对利率衍生品进行更有效地定价．
英文摘要：
A two-factor model of stochastic volatility is established. A two-stage semi-parameter method is applied to estimate constant coefficient parameters of this model. Moreover, kernel estimator method is developed to estimate the long-term mean value function, by this method the consistency of the two-stage method and the asymptotic normality of parameters are obtained. The empirical results show that the likelihood function can be improved in the long-term mean value model rather than the constant coefficient model. Also, the model provides a good explanation for the effective policies implemented by the central bank and the government. Besides, the industries can use the above model for valuing interest-rate-derivative securities without increasing the dimension.
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