Term Structure Modeling and Estimation in a State Space Framework

Name: Term Structure Modeling and Estimation in a State Space Framework
Availability: InStock
ISBN: 9783540283447

ISBN-10: 3540283447

ISBN-13: 9783540283447

Edition: 2006

Authors: Wolfgang Lemke

List price: $139.00

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Description:

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.

Book details

List price: $139.00
Copyright year: 2006
Publisher: Springer London, Limited
Publication date: 3/30/2006
Binding: E-Book
Pages: 226
Language: English