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Term Structure Modeling and Estimation in a State Space Framework
Wolfgang Lemke
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Description for Term Structure Modeling and Estimation in a State Space Framework
Paperback. Presents a series of models of the term structure of interest rates, covering both theory and estimation in a unified framework. Special emphasis is placed on models, which are driven by innovations that have a Gaussian mixture distribution. These models are able to flexibly capture the observed non-normality in the distribution of bond yields. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 236 pages, biography. BIC Classification: KFFM. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 234 x 156 x 12. Weight in Grams: 750.
This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor ... Read more
This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor ... Read more
Product Details
Format
Paperback
Publication date
2005
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
236
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
226
Place of Publication
Berlin, Germany
ISBN
9783540283423
SKU
V9783540283423
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Term Structure Modeling and Estimation in a State Space Framework
From the reviews: "The author … introduces the AMGM models and gives the exact form for the yields and their moment structures. … the book is well-presented with sufficient references, and can serve as a reference for researchers in macroeconomics and financial mathematics. It can also be studied because it presents an important class of ... Read more