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Term Structure Modeling and Estimation in a State Space Framework
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2004, ISBN: 9783540283423

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… mais…

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Term Structure Modeling and Estimation in a State Space Framework. Lecture Notes in Economics and Mathematical Systems, Band 565 - Lemke, Wolfgang
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Term Structure Modeling and Estimation in a State Space Framework. Lecture Notes in Economics and Mathematical Systems, Band 565 - livro usado

2006, ISBN: 9783540283423

[PU: Springer Berlin Heidelberg], 222 Seiten; Broschiert Das hier angebotene Buch stammt aus einer teilaufgelösten wissenschaftlichen Bibliothek und trägt die entsprechenden Kennzeichnung… mais…

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Term Structure Modeling and Estimation in a State Space Framework. Lecture Notes in Economics and Mathematical Systems, Band 565; - Lemke, Wolfgang
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Term Structure Modeling and Estimation in a State Space Framework. Lecture Notes in Economics and Mathematical Systems, Band 565; - Livro de bolso

2006

ISBN: 3540283420

[EAN: 9783540283423], Gebraucht, sehr guter Zustand, [SC: 2.9], [PU: Springer Berlin Heidelberg], 222 Seiten; Das hier angebotene Buch stammt aus einer teilaufgelösten wissenschaftlichen … mais…

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Term Structure Modeling and Estimation in a State Space Framework. Lecture Notes in Economics and Mathematical Systems, Band 565; - Lemke, Wolfgang
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Lemke, Wolfgang:
Term Structure Modeling and Estimation in a State Space Framework. Lecture Notes in Economics and Mathematical Systems, Band 565; - livro usado

2006, ISBN: 9783540283423

222 Seiten; Broschiert Das hier angebotene Buch stammt aus einer teilaufgelösten wissenschaftlichen Bibliothek und trägt die entsprechenden Kennzeichnungen (Rückenschild, Instituts-Stempe… mais…

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Term Structure Modeling and Estimation in a State Space Framework - Lemke, Wolfgang
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Term Structure Modeling and Estimation in a State Space Framework - Livro de bolso

ISBN: 9783540283423

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Term Structure Modeling and Estimation in a State Space Framework
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9783540283423


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. TOC:Introduction.- 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.- An Empirical Application.- Summary and Outlook.

Dados detalhados do livro - Term Structure Modeling and Estimation in a State Space Framework


EAN (ISBN-13): 9783540283423
ISBN (ISBN-10): 3540283420
Livro de capa dura
Livro de bolso
Ano de publicação: 2006
Editor/Editora: Springer Berlin

Livro na base de dados desde 2007-04-24T09:40:26+01:00 (Lisbon)
Página de detalhes modificada pela última vez em 2023-10-15T18:11:44+01:00 (Lisbon)
Número ISBN/EAN: 9783540283423

Número ISBN - Ortografia alternativa:
3-540-28342-0, 978-3-540-28342-3
Ortografia alternativa e termos de pesquisa relacionados:
Autor do livro: lem, lemke, beckmann, basile, wolfgang, thomas willi, thomas braun, braun joachim, bielefeld, thomas semmler
Título do livro: structure economics, structures and systems, mathematical structure, lecture notes economics, space above and beyond, 565

Dados da editora

Autor: Wolfgang Lemke
Título: Lecture Notes in Economics and Mathematical Systems; Term Structure Modeling and Estimation in a State Space Framework
Editora: Springer; Springer Berlin
226 Páginas
Ano de publicação: 2005-09-23
Berlin; Heidelberg; DE
Língua: Inglês
109,99 € (DE)

BC; Hardcover, Softcover / Wirtschaft/Volkswirtschaft; Ökonometrie und Wirtschaftsstatistik; Verstehen; Wirtschaft; Asset Pricing; Bond Yields; Nonlinear Filters; Simulation; State Space Model; Term Structure of Interest Rates; quantitative finance; Econometrics; Mathematics in Business, Economics and Finance; Business and Management; Macroeconomics and Monetary Economics; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Betriebswirtschaft und Management; Makroökonomie; EA

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.

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