Book Details

Term Structure Modeling and Estimation in a State Space Framework

Publish Date: 2006

ISBN: 978-3-540-28344-7

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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.

Subject: Business and Economics, Asset Pricing, Bond Yields, Nonlinear Filters, Simulation, State Space Model, Term Structure of Interest Rates