Term Structure Modeling and Estimation in a State Space Framework: 565 (Lecture Notes in Economics and Mathematical Systems, 565) - Softcover

Lemke, Wolfgang

Softcover

ISBN 10: 3540283420 ISBN 13: 9783540283423

Publisher: Springer, 2005

Synopsis

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.

About this title

Review

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)

Synopsis

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.

Edition details

• Publisher: Springer
• Publication date: 2005
• Language: English
• ISBN 10: 3540283420
• ISBN 13: 9783540283423
• Binding: Paperback
• Number of pages: 236