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Term Structure Modeling and Estimation in a State Space Framework
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&qu...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2006.
|
| Edición: | 1st ed. 2006. |
| Colección: | Lecture Notes in Economics and Mathematical Systems,
565 |
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 001 | 978-3-540-28344-7 | ||
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| 020 | |a 9783540283447 |9 978-3-540-28344-7 | ||
| 024 | 7 | |a 10.1007/3-540-28344-7 |2 doi | |
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| 100 | 1 | |a Lemke, Wolfgang. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Term Structure Modeling and Estimation in a State Space Framework |h [electronic resource] / |c by Wolfgang Lemke. |
| 250 | |a 1st ed. 2006. | ||
| 264 | 1 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg : |b Imprint: Springer, |c 2006. | |
| 300 | |a X, 226 p. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 490 | 1 | |a Lecture Notes in Economics and Mathematical Systems, |x 2196-9957 ; |v 565 | |
| 505 | 0 | |a The Term Structure of Interest Rates -- Discrete-Time Models of the Term Structure -- Continuous-Time Models of the Term Structure -- State Space Models -- State Space Models with a Gaussian Mixture -- Simulation Results for the Mixture Model -- Estimation of Term Structure Models in a State Space Framework -- An Empirical Application -- Summary and Outlook. | |
| 520 | |a 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 Joachim Frohn, not only for his guidance and advice throughout the com pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination. | ||
| 650 | 0 | |a Econometrics. | |
| 650 | 0 | |a Social sciences |x Mathematics. | |
| 650 | 0 | |a Business. | |
| 650 | 0 | |a Management science. | |
| 650 | 0 | |a Macroeconomics. | |
| 650 | 1 | 4 | |a Econometrics. |
| 650 | 2 | 4 | |a Mathematics in Business, Economics and Finance. |
| 650 | 2 | 4 | |a Business and Management. |
| 650 | 2 | 4 | |a Macroeconomics and Monetary Economics. |
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| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783540814375 |
| 776 | 0 | 8 | |i Printed edition: |z 9783540283423 |
| 830 | 0 | |a Lecture Notes in Economics and Mathematical Systems, |x 2196-9957 ; |v 565 | |
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| 950 | |a Economics and Finance (R0) (SpringerNature-43720) | ||