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

This book presents a series of dynamic models of the term structure of interest rates, covering both theory and estimation in a unified framework. The Author of this Book is Wolfgang Lemke Special emphasis is placed on models which are driven by innovations that have a Gaussian mixture distribution. Array ISBN . These models are able to flexibly capture the observed non-normality in the distribution of bond yields. Term Structure Modeling and Estimation in a State Space Framework (Lecture Notes in Economics and Mathematical Systems) available in English. 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.