Term Structure Modeling and Estimation in a State Space Framework

By: Wolfgang Lemke

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Paperback | 23 September 2005

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238 Pages

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24.13 x 15.88 x 1.91

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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.

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"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)

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Non-Fiction Economics Econometrics Accounting & Finance Finance Investment & Securities Macroeconomics Business & Management Management & Management Techniques Mathematics Applied Mathematics Optimisation

Game Theory

Introduction	p. 1
The term structure of interest rates	p. 5
Discrete-time models of the term structure	p. 13
Continuous-time models of the term structure	p. 55
State space models	p. 69
State space models with a Gaussian mixture	p. 83
Simulation results for the mixture model	p. 101
Estimation of term structure models in a state space framework	p. 135
An empirical application	p. 153
Summary and outlook	p. 179
Properties of the normal distribution	p. 181
Higher order stationarity of a VAR(1)	p. 185
Derivations for the one-factor models in discrete time	p. 189
A note on scaling	p. 197
Derivations for the multifactor models in discrete time	p. 201
Proof of theorem 6.3	p. 209
Random draws from a Gaussian mixture distribution	p. 213
Table of Contents provided by Blackwell. All Rights Reserved.

Term Structure Modeling and Estimation in a State Space Framework

At a Glance

Paperback

Industry Reviews

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