Term Structure Modeling and Estimation in a State Space Framework

ISBN-13: 9783540283423 / Angielski / Miękka / 2005 / 226 str.

Wolfgang Lemke; W. Lemke

Opis

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."

Recenzje

From the reviews:

"The author ... introduces the AMGM models and gives the exact form for the yields and their moment structures. ... the book is well-presented with sufficient references, and can serve as a reference for researchers in macroeconomics and financial mathematics. It can also be studied because it presents an important class of hidden Markov models." (Yanhong Wu, Mathematical Reviews, Issue 2006 h)

Spis treści

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 in a State Space Framework.- An Empirical Application.- Summary and Outlook.