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EBOOK
Author Lemke, Wolfgang.
Title Term structure modeling and estimation in a state space framework / Wolfgang Lemke.
Imprint Berlin : Springer, 2006.

LOCATION CALL # STATUS MESSAGE
 OHIOLINK SPRINGER EBOOKS    ONLINE  
View online
Author Lemke, Wolfgang.
Series Lecture notes in economics and mathematical systems ; v. 565
Lecture notes in economics and mathematical systems ; 565
Lecture notes in economics and mathematical systems ; v. 565.
Lecture notes in economics and mathematical systems ; 565.
Subject Interest rates -- Mathematical models.
LOCATION CALL # STATUS MESSAGE
 OHIOLINK SPRINGER EBOOKS    ONLINE  
View online
Author Lemke, Wolfgang.
Series Lecture notes in economics and mathematical systems ; v. 565
Lecture notes in economics and mathematical systems ; 565
Lecture notes in economics and mathematical systems ; v. 565.
Lecture notes in economics and mathematical systems ; 565.
Subject Interest rates -- Mathematical models.
Description 1 online resource (ix, 222 pages) : illustrations.
Bibliography Note Includes bibliographical references (pages 215-220).
Contents 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.
Summary 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.
Note Print version record.
ISBN 9783540283447
3540283447
3540283420 (Paper)
9783540283423 (Paper)
6610337772
9786610337774
OCLC # 262692109
Additional Format Print version: Lemke, Wolfgang. Term structure modeling and estimation in a state space framework. Berlin : Springer, 2006 3540283420 9783540283423 (OCoLC)225359474



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