HERMES-Catalog

Term Structure Modeling and Estimation in a State Space Framework / by Wolfgang Lemke
(Lecture Notes in Economics and Mathematical Systems. ISSN:21969957 ; 565)

Publisher	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
Year	2006
Edition	1st ed. 2006.
Authors	*Lemke, Wolfgang author SpringerLink (Online service)

Hide book details.

Links to the text	Location	Volume	Call No.	Barcode No.	Status	Comments	ISBN	Printed	Restriction	Reserve
Links to the text	Library Off-campus access			OB00163269		Springer Business and Economics eBooks (電子ブック)	9783540283447

Hide details.

Material Type	E-Book
Media type	機械可読データファイル
Size	X, 226 p : online resource
Notes	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 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 HTTP:URL=https://doi.org/10.1007/3-540-28344-7
Subjects	LCSH:Econometrics LCSH:Social sciences—Mathematics LCSH:Business LCSH:Management science LCSH:Macroeconomics FREE:Econometrics FREE:Mathematics in Business, Economics and Finance FREE:Business and Management FREE:Macroeconomics and Monetary Economics
Classification	LCC:HB139-141 DC23:330.015195
ID	8000062835
ISBN	9783540283447