Kód: 01561009
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 Ga ... celý popis
Angličtina
109.34 €

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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
109.34 €
Angličtina
Osobný odber Bratislava a 12790 dalších
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