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Více informací o knize Term Structure Modeling and Estimation in a State Space Framework

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• Anotace
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Anotace knihy

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.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Economics Econometrics

• Plný název: Term Structure Modeling and Estimation in a State Space Framework
• Autor: Wolfgang Lemke
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 226
• EAN: 9783540283423
• ISBN: 3540283420
• ID: 01561009
• Nakladatelství: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Hmotnost: 750 g
• Rozměry: 235 × 155 × 17 mm
• Datum vydání: 23. September 2005

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