Bundesbank, Deutsche
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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Avainsanat: BUSINESS & ECONOMICS / Management Science BUS042000
- Tekijä(t)
- Bundesbank, Deutsche
- Lemke, Wolfgang
- Julkaisija
- Springer
- Julkaisuvuosi
- 2006
- Kieli
- en
- Painos
- 1
- Kategoria
- Talous
- Tiedostomuoto
- E-kirja
- eISBN (PDF)
- 9783540283447