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Term Structure Modeling and Estimation in a State Space Framework (Lecture Notes in Economics and Mathematical Systems) - Wolfgang Lemke
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Wolfgang Lemke:

Term Structure Modeling and Estimation in a State Space Framework (Lecture Notes in Economics and Mathematical Systems) - Taschenbuch

2008, ISBN: 3540283420

[SR: 2816644], Paperback, [EAN: 9783540283423], Springer Berlin Heidelberg, Springer Berlin Heidelberg, Book, [PU: Springer Berlin Heidelberg], 2008-10-10, Springer Berlin Heidelberg, Term Structure Modeling and Estimation in a State Space Framework Presents a series of 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. Full description, 268091, Accounting, 659892, Audits & Auditing, 659894, Book-keeping, 268092, Cost, 268093, Financial, 268094, Financial Reporting & Statements, 268097, International, 268098, Management Accounting, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 268156, Econometrics, 268153, Economics, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 268173, Macroeconomics, 268153, Economics, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 268295, Management Science, 268290, Management, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 268194, Investments & Securities, 268195, Bonds, 268196, Commodities, 268197, Futures, 268200, Options, 268201, Stocks & Shares, 268179, Professional Finance, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 276857, Encyclopaedias, 276859, Art, 291714, Children's, 276864, Film & TV, 276863, Food & Drink, 276867, History, 276868, Humour, 276869, Legal, 276871, Medical, 276872, Military, 276873, Music, 276874, Mythology & Legend, 276876, Religion, 276878, Sports, 59, Reference, 1025612, Subjects, 266239, Books, 278329, Applied Mathematics, 922530, Mathematical Modelling, 278335, Mathematics for Scientists & Engineers, 278419, Physics, 278320, Mathematics, 57, Science & Nature, 1025612, Subjects, 266239, Books, 278381, Game Theory, 278380, Optimisation, 278320, Mathematics, 57, Science & Nature, 1025612, Subjects, 266239, Books, 278386, Reference, 278320, Mathematics, 57, Science & Nature, 1025612, Subjects, 266239, Books, 570874, Applied Mathematics, 570896, Non-linear Science, 570882, Scientific & Engineering Mathematics, 570878, Statistics & Probability, 564352, Mathematics, 564334, Scientific, Technical & Medical, 1025612, Subjects, 266239, Books

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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 - Taschenbuch

2004, ISBN: 9783540283423

[ED: Taschenbuch], [PU: Springer-Verlag GmbH], Neuware - 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., [SC: 0.00], Neuware, gewerbliches Angebot, 239x156x17 mm, [GW: 379g]

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Term Structure Modeling and Estimation in a State Space Framework - Wolfgang Lemke
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Wolfgang Lemke:
Term Structure Modeling and Estimation in a State Space Framework - Taschenbuch

2004

ISBN: 9783540283423

[ED: Taschenbuch], [PU: Springer-Verlag GmbH], Neuware - 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., [SC: 0.99], Neuware, gewerbliches Angebot, 239x156x17 mm, [GW: 379g]

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Term Structure Modeling and Estimation in a State Space Framework - Wolfgang Lemke
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Wolfgang Lemke:
Term Structure Modeling and Estimation in a State Space Framework - Taschenbuch

2004, ISBN: 9783540283423

[ED: Taschenbuch], [PU: Springer-Verlag GmbH], Neuware - 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., [SC: 0.00], Neuware, gewerbliches Angebot, FixedPrice, [GW: 379g]

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Term Structure Modeling and Estimation in a State Space Framework - Beckmann, M.; Knzi, H. P.; Fandel, G.; Trockel, W.; Basile, A.
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ISBN: 9783540283423

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Presents a series of 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. Business Business eBook, Springer

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Term Structure Modeling and Estimation in a State Space Framework (Lecture Notes in Economics and Mathematical Systems)
Autor:

Wolfgang Lemke

Titel:

Term Structure Modeling and Estimation in a State Space Framework (Lecture Notes in Economics and Mathematical Systems)

ISBN-Nummer:

9783540283423

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. TOC:Introduction.- The Term Structure of Interest Rates.- Discrete-Time Models of the Term Structure.- Continuous-Time Models of the Term Structure.- State Space Models.- State Space Models with a Gaussian Mixture.- Simulation Results for the Mixture Model.- Estimation of Term Structure Models.- An Empirical Application.- Summary and Outlook.

Detailangaben zum Buch - Term Structure Modeling and Estimation in a State Space Framework (Lecture Notes in Economics and Mathematical Systems)


EAN (ISBN-13): 9783540283423
ISBN (ISBN-10): 3540283420
Gebundene Ausgabe
Taschenbuch
Erscheinungsjahr: 2006
Herausgeber: Springer-Verlag GmbH

Buch in der Datenbank seit 24.04.2007 10:40:26
Buch zuletzt gefunden am 15.11.2016 16:15:06
ISBN/EAN: 9783540283423

ISBN - alternative Schreibweisen:
3-540-28342-0, 978-3-540-28342-3

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