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Term Structure Modeling and Estimation in a State Space Framework - Wolfgang Lemke
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Wolfgang Lemke:

Term Structure Modeling and Estimation in a State Space Framework - nouveau livre

2004, ISBN: 9783540283447

ID: 9783540283447

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. Term Structure Modeling and Estimation in a State Space Framework: 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. Nonlinear Filters C Term Structure of Interest Rates Quantitative Finance Macroeconomics/Monetary Economics//Financial Economics Asset Pricing Business and Management, general Econometrics Bond Yields Simulation State Space Model Economics and, Springer Berlin

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Term Structure Modeling and Estimation in a State Space Framework - Lemke, Wolfgang
Livre non disponible
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Lemke, Wolfgang:

Term Structure Modeling and Estimation in a State Space Framework - nouveau livre

2006, ISBN: 3540283447

ID: 9783540283447

In englischer Sprache. Verlag: Springer Berlin, 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. PC-PDF, 226 Seiten, X Seiten, 226 Seiten, [GR: 9781 - Nonbooks, PBS / Wirtschaft/Allgemeines, Lexika], [Ausgabe: 2006][PU:Springer Berlin], [PU: Springer, Berlin/Heidelberg]

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Term Structure Modeling and Estimation in a State Space Framework - Wolfgang Lemke
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Wolfgang Lemke:
Term Structure Modeling and Estimation in a State Space Framework - nouveau livre

ISBN: 9783540283447

ID: 8369

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 cast into 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., [PU: Springer, Berlin/Heidelberg]

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Term Structure Modeling and Estimation in a State Space Framework - Lemke, Wolfgang
Livre non disponible
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Lemke, Wolfgang:
Term Structure Modeling and Estimation in a State Space Framework - nouveau livre

2005, ISBN: 9783540283447

ID: 9783540283447

In englischer Sprache. Verlag: Springer Berlin, PC-PDF, 223 Seiten, IX Seiten, 223 Seiten, 1., Ed. [GR: 9781 - Nonbooks, PBS / Wirtschaft/Allgemeines, Lexika], [DRM: 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 distributi], [Ausgabe: 1]

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Term Structure Modeling and Estimation in a State Space Framework - Wolfgang Lemke
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Wolfgang Lemke:
Term Structure Modeling and Estimation in a State Space Framework - Première édition

2005, ISBN: 9783540283447

ID: 21654250

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Term Structure Modeling and Estimation in a State Space Framework
Auteur:

Bundesbank, Deutsche;Lemke, Wolfgang

Titre:

Term Structure Modeling and Estimation in a State Space Framework

ISBN:

3540283447

Informations détaillées sur le livre - Term Structure Modeling and Estimation in a State Space Framework


EAN (ISBN-13): 9783540283447
ISBN (ISBN-10): 3540283447
Date de parution: 2006
Editeur: Springer Berlin
223 Pages
Langue: eng/Englisch

Livre dans la base de données depuis 24.10.2007 20:45:03
Livre trouvé récemment le 15.07.2016 19:03:07
ISBN/EAN: 3540283447

ISBN - Autres types d'écriture:
3-540-28344-7, 978-3-540-28344-7

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