rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Term Structure Modeling and Estimation in a State Space Framework
  name:
    name part: Lemke, Wolfgang.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Bundesbank, Deutsche.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2006
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: X, 226 p. online resource.
  abstract: 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" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com­ pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.
  table of contents: 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.
  note: by Wolfgang Lemke, Deutsche Bundesbank.
  subject:
    topic: Business
  subject:
    topic: Management science
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Econometrics
  subject:
    topic: Macroeconomics
  subject:
    topic: Economics
  subject:
    topic: Econometrics
  subject:
    topic: Quantitative Finance
  subject:
    topic: Business and Management, general
  subject:
    topic: Macroeconomics/Monetary Economics//Financial Economics
  classification: HB139-141
  classification: 330.015195
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Lecture Notes in Economics and Mathematical Systems, 565
  identifier: 9783540283447
  identifier: http://dx.doi.org/10.1007/3-540-28344-7
  record info:
    record creation date: 100301
    record change date: 20151204160215.0
    record identifier: 978-3-540-28344-7