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Term Structure Modeling and Estimation in a State Space Framework

By: Lemke, Wolfgang [author.].
Contributor(s): Bundesbank, Deutsche [author.2] | SpringerLink (Online service)0.
Material type: materialTypeLabelBookSeries: Lecture Notes in Economics and Mathematical Systems: 5654Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.Description: X, 226 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783540283447.Subject(s): Business | Management science | Economics, Mathematical | Econometrics | Macroeconomics.1 | Economics.2 | Econometrics.2 | Quantitative Finance.2 | Business and Management, general.2 | Macroeconomics/Monetary Economics//Financial Economics.1DDC classification: 330.015195 Online resources: Click here to access online
Contents:
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 in a State Space Framework -- An Empirical Application -- Summary and Outlook.
In: Springer eBooks0Summary: 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.
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Item type Current location Call number Status Date due Barcode Item holds
PK Kelkar Library, IIT Kanpur
Available EBK5636
Total holds: 0

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 in a State Space Framework -- An Empirical Application -- Summary and Outlook.

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.

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