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Term Structure Modeling and Estimation in a State Space Framework
Language
English
English
Book
Paperback
This book presents a series of dynamic models of the term structure of interest rates, covering both...
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Libristo code: 01561009
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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
English
Binding
Book - Paperback
Date of issue
2005
Number of pages
226
EAN
9783540283423
ISBN
3540283420
Libristo code
01561009
Weight
750
Dimensions
155 x 235 x 17
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