Overview

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.

Full Product Details

9783540814375

Table of Contents

Reviews

<p>From the reviews: <p><p> 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)

Author Information

Tab Content 6

Customer Reviews

Recent Reviews

Countries Available