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About Term Structure Mode 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.
Detailed Information
| Author: | Wolfgang Lemke |
|---|---|
| Publication Year: | 2005 |
| ISBN: | 3540283420 |
| Pages: | 224 |
| Language: | English |
| File Size: | 6.53 |
| Format: | |
| Price: | FREE |
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