Term Structure Modeling and Estimation in a State Space Framework (Lecture Notes in Economics and Mathematical Systems)

Term Structure Modeling and Estimation in a State Space Framework (Lecture Notes in Economics and Mathematical Systems)

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Book Description
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.

Term Structure Modeling and Estimation in a State Space Framework (Lecture Notes in Economics and Mathematical Systems),Wolfgang Lemke,Springer,3540283420,Business / Economics / Finance,Econometrics,Economics - General,Finance,Reference,Science,Science/Mathematics,Asset Pricing,Bond Yields,Business & Economics / Econometrics,Nonlinear Filters,State Space Model,Term Structure of Interest Rates

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