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