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Viac informácií o knihe Term Structure Modeling and Estimation in a State Space Framework

• Parametre knihy
• Anotácia kniha
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Anotácia knihy

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 castinto 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.

Parametre knihy

Zaradenie knihy Knihy po anglicky Economics, finance, business & management Economics Econometrics

• Celý názov: Term Structure Modeling and Estimation in a State Space Framework
• Autor: Wolfgang Lemke
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 226
• EAN: 9783540283423
• ISBN: 3540283420
• ID: 01561009
• Nakladateľ: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Hmotnosť: 750 g
• Rozmery: 235 × 155 × 17 mm
• Dátum vydania: 23. September 2005

Obľúbené z iného súdka

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