Overview
Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 565)
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Table of contents (10 chapters)
Keywords
About this book
Reviews
From the reviews:
"The author … introduces the AMGM models and gives the exact form for the yields and their moment structures. … the book is well-presented with sufficient references, and can serve as a reference for researchers in macroeconomics and financial mathematics. It can also be studied because it presents an important class of hidden Markov models." (Yanhong Wu, Mathematical Reviews, Issue 2006 h)
Authors and Affiliations
Bibliographic Information
Book Title: Term Structure Modeling and Estimation in a State Space Framework
Authors: Wolfgang Lemke, Deutsche Bundesbank
Series Title: Lecture Notes in Economics and Mathematical Systems
DOI: https://doi.org/10.1007/3-540-28344-7
Publisher: Springer Berlin, Heidelberg
eBook Packages: Business and Economics, Economics and Finance (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2006
Softcover ISBN: 978-3-540-28342-3Published: 23 September 2005
eBook ISBN: 978-3-540-28344-7Published: 08 December 2005
Series ISSN: 0075-8442
Series E-ISSN: 2196-9957
Edition Number: 1
Number of Pages: X, 226
Topics: Econometrics, Quantitative Finance, Business and Management, general, Macroeconomics/Monetary Economics//Financial Economics