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Term structure modeling and estimation in a state space framework

By: Material type: TextTextSeries: Lecture Notes in Economics and Mathematical Systems, 565Publication details: Germany Springer 2006 Description: ix, 222 pISBN:
  • 9783540283423
Subject(s): DDC classification:
  • 519.93
Summary: his 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.
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Item type Current library Item location Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 33-A / Slot 1694 (2nd Floor, East Wing) General Stacks 519.93 L3T3 (Browse shelf(Opens below)) Available 162209

his 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.

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