Term Structure Modeling and Estimation in a State Space Framework

• Main Authors: Lemke, Wolfgang (Author), Bundesbank, Deutsche (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Series: Lecture Notes in Economics and Mathematical Systems, 565
• Subjects: Business.; Management science.; Economics, Mathematical.; Econometrics.; Macroeconomics.; Economics.; Quantitative Finance.; Business and Management, general.; Macroeconomics/Monetary Economics//Financial Economics.

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...

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.