Term Structure Modeling and Estimation in a State Space Framework

1. Introduction

2. The Term Structure of Interest Rates

3. Discrete-Time Models of the Term Structure

4. Continuous-Time Models of the Term Structure

5. State Space Models

6. State Space Models with a Gaussian Mixture

7. Simulation Results for the Mixture Model

8. Estimation of Term Structure Models in a State Space Framework

9. An Empirical Application

10. Summary and Outlook

DRM-restrictions

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Keywords: BUSINESS & ECONOMICS / Management Science BUS042000