Term structure modeling and estimation in a state space framework
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...
| Main Author: | Lemke, Wolfgang. |
|---|---|
| Other Authors: | SpringerLink (Online service) |
| Format: | eBook |
| Language: | English |
| Published: |
Berlin :
Springer,
©2006.
Berlin : [2006] |
| Physical Description: |
1 online resource (ix, 222 pages) : illustrations. |
| Series: |
Lecture notes in economics and mathematical systems ;
v. 565. Lecture notes in economics and mathematical systems ; 565. |
| Subjects: |
CMU Electronic Access
Electronic Resource Click Here| Location | Call Number: | Status |
|---|---|---|
| CMU Electronic Access | Available |