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Term Structure Modeling and Estimation in a State Space Framework
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Term Structure Modeling and Estimation in a State Space Framework - new book

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… More...

Nr. 978-3-540-28342-3. Shipping costs:Worldwide free shipping, , zzgl. Versandkosten., plus shipping costs
2
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 - used book

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… More...

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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; - Paperback

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 … More...

NOT NEW BOOK. Shipping costs: EUR 2.90 books4less (Versandantiquariat Petra Gros GmbH & Co. KG), Koblenz, Germany [1048006] [Rating: 5 (von 5)]
4
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; - used book

2006, ISBN: 9783540283423

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

Shipping costs:Versandkosten innerhalb der BRD. (EUR 2.65) Versandantiquariat Petra Gros GmbH & Co. KG, 56070 Koblenz
5
Term Structure Modeling and Estimation in a State Space Framework - Lemke, Wolfgang
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Lemke, Wolfgang:
Term Structure Modeling and Estimation in a State Space Framework - Paperback

ISBN: 9783540283423

[ED: Taschenbuch], [PU: Springer Berlin], DE, [SC: 19.50], wie neu, privates Angebot, 235x155 mm, 226, [GW: 750g], Banküberweisung, Selbstabholung und Barzahlung, Internationaler Versand,… More...

Shipping costs:Versand in die Schweiz. (EUR 19.50) ScriptaManent

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Bibliographic data of the best matching book

Details of the book
Term Structure Modeling and Estimation in a State Space Framework

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.

Details of the book - Term Structure Modeling and Estimation in a State Space Framework


EAN (ISBN-13): 9783540283423
ISBN (ISBN-10): 3540283420
Hardcover
Paperback
Publishing year: 2006
Publisher: Springer Berlin

Book in our database since 2007-04-24T09:40:26+01:00 (London)
Detail page last modified on 2023-10-15T18:11:44+01:00 (London)
ISBN/EAN: 9783540283423

ISBN - alternate spelling:
3-540-28342-0, 978-3-540-28342-3
Alternate spelling and related search-keywords:
Book author: lem, lemke, beckmann, basile, wolfgang, thomas willi, thomas braun, braun joachim, bielefeld, thomas semmler
Book title: structure economics, structures and systems, mathematical structure, lecture notes economics, space above and beyond, 565


Information from Publisher

Author: Wolfgang Lemke
Title: Lecture Notes in Economics and Mathematical Systems; Term Structure Modeling and Estimation in a State Space Framework
Publisher: Springer; Springer Berlin
226 Pages
Publishing year: 2005-09-23
Berlin; Heidelberg; DE
Printed / Made in
Weight: 0,750 kg
Language: English
109,99 € (DE)

BC; Econometrics; Hardcover, Softcover / Wirtschaft/Allgemeines, Lexika; Ökonometrie und Wirtschaftsstatistik; Verstehen; Wirtschaft; Asset Pricing; Bond Yields; Nonlinear Filters; Simulation; State Space Model; Term Structure of Interest Rates; quantitative finance; Quantitative Finance; Business and Management, general; Macroeconomics/Monetary Economics//Financial Economics; 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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