Term Structure Mode and Estimation in a State Space Framework
 |
|
Описание:
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.Похожие книги
 | CLR via C#. Программирование на платформе Microsoft .NET Framework 2.0 на языке С# Автор: Джеффри Рихтер Год: 2007 |
| Beginning CakePHP: From Novice to Professional Автор: David Golding Год: 2008 |
 | A Stakeholder Framework For Environmental Management Автор: Alkiviadis Tromaras Год: 2010 |
| The Water Framework Directive Автор: Philippe P. Quevauviller Год: 2008 |
 | GPS and GSM based real time vehicle locater component framework: For GIS enabled fleet management systems Автор: Eshetu Abebe Год: 2010 |
 | Practical CakePHP Projects Автор: Kai Chan Год: 2008 |