Term Structure Modeling and Estimation in a State Space Framework

Name: Term Structure Modeling and Estimation in a State Space Framework
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783540283423
Price: 2567 CZK
Availability: InStock

Autor: Wolfgang Lemke

Jazyk:

Vazba: Brožovaná

Vydavatel: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Dostupnost: Skladem u dodavatele v malém množství

Odesíláme za 13-18 dnů

2 567 Kč

This book presents a series of dynamic models of the term structure of interest rates, covering both...

Informace o knize

Autor

Wolfgang Lemke

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2005

Stránek

226

EAN

9783540283423

ISBN

3540283420

Enbook ID

01561009

Vydavatel

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Hmotnost

750

Rozměry

155 x 235 x 17

Kompletní popis

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.

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také

Nejčastěji hledané

Categories

Authors

Publishers

Produkty

Produkty

Nejčastěji hledané

Categories

Authors

Publishers

Produkty

Produkty

Term Structure Modeling and Estimation in a State Space Framework

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také