Term Structure Modeling and Estimation in a State Space Framework
Publication year: 2006
: 978-3-540-28344-7
It 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.
: Business and Economics, Asset Pricing, Bond Yields, Nonlinear Filters, Simulation, State Space Model, Term Structure of Interest Rates
