Term Structure Modeling and Estimation in a State Space Framework
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&qu...
Κύριοι συγγραφείς: | , |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2006.
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Σειρά: | Lecture Notes in Economics and Mathematical Systems,
565 |
Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.