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Term Structure Modeling and Estimation in a State Space Framework

Language EnglishEnglish
Book Paperback
Book Term Structure Modeling and Estimation in a State Space Framework Wolfgang Lemke
Libristo code: 01561009
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, September 2005
This book presents a series of dynamic models of the term structure of interest rates, covering both... Full description
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This book presents a series of dynamic 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. It is shown that the theoretical models can easily be castinto the statistical state space form, which provides a convenient framework for statistical inference. An application to US data illustrates the properties of the models and shows the estimation techniques at work.

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About the book

Full name Term Structure Modeling and Estimation in a State Space Framework
Author Wolfgang Lemke
Language English
Binding Book - Paperback
Date of issue 2005
Number of pages 226
EAN 9783540283423
ISBN 3540283420
Libristo code 01561009
Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Weight 750
Dimensions 155 x 235 x 17

Categories

Economics, Finance, Business & Management > Economics > Macroeconomics > Monetary economics
Economics, Finance, Business & Management > Finance & accounting > Finance > Investment & securities
Economics, Finance, Business & Management > Economics > Econometrics & economic statistics
Economics, Finance, Business & Management > Business & Management
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