Lecture Notes in Economics and Mathematical Systems

Term Structure Modeling and Estimation in a State Space Framework

Authors: Lemke, Wolfgang

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About this book

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 was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com­ pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.

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)


Table of contents (10 chapters)

Table of contents (10 chapters)
  • Introduction

    Pages 1-3

  • The Term Structure of Interest Rates

    Pages 5-12

  • Discrete-Time Models of the Term Structure

    Pages 13-54

  • Continuous-Time Models of the Term Structure

    Pages 55-67

  • State Space Models

    Pages 69-82

Buy this book

eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-540-28344-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $139.99
price for USA in USD
  • ISBN 978-3-540-28342-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Term Structure Modeling and Estimation in a State Space Framework
Authors
Series Title
Lecture Notes in Economics and Mathematical Systems
Series Volume
565
Copyright
2006
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-28344-7
DOI
10.1007/3-540-28344-7
Softcover ISBN
978-3-540-28342-3
Series ISSN
0075-8442
Edition Number
1
Number of Pages
X, 226
Topics