Term Structure Modeling and Estimation in a State Space Framework

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Term Structure Modeling and Estimation in a State Space Framework Series: Lecture Notes in Economics and Mathematical Systems , Vol. 565 Lemke, Wolfgang 2006, IX, 223 p., Softcover ISBN: 978-3-540-28342-3 This item usually ships in 2-3 business days. $69.95 ＜script type="text/javascript"＞＜/script＞ About this book | Table of contents About this book 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. Written for: Scientists Keywords: Asset Pricing

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关键词：State Space Estimation Framework Structure Modeling Modeling Structure Estimation term Framework

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