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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Lemke, Wolfgang (Autor)
Autor Corporativo: SpringerLink (Online service)
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:
Econometrics.
Social sciences > Mathematics.
Business.
Management science.
Macroeconomics.
Mathematics in Business, Economics and Finance.
Business and Management.
Macroeconomics and Monetary Economics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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