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Book Cover
E-book
Author Lemke, Wolfgang.

Title Term structure modeling and estimation in a state space framework / Wolfgang Lemke
Published Berlin : Springer, ©2006

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Description 1 online resource (ix, 222 pages) : illustrations
Series Lecture notes in economics and mathematical systems ; v. 565
Lecture notes in economics and mathematical systems ; 565
Lecture notes in economics and mathematical systems ; v. 565.
Lecture notes in economics and mathematical systems ; 565.
Contents Introduction -- 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 -- An Empirical Application -- Summary and Outlook
Summary 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 cast into 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
Analysis economie
economics
bedrijfswetenschap
management science
econometrie
econometrics
finance
Management studies, Business Administration, Organizational Science (General)
Economics (General)
Management, bedrijfskunde, organisatiekunde (algemeen)
Economie (algemeen)
Bibliography Includes bibliographical references (pages 215-220)
Notes Print version record
In Springer e-books
Subject Interest rates -- Mathematical models
BUSINESS & ECONOMICS -- Interest.
Affaires.
Science économique.
Economie de l'entreprise.
Interest rates -- Mathematical models
Form Electronic book
ISBN 9783540283447
3540283447
3540283420
9783540283423
6610337772
9786610337774