Abstract
This appendix introduces the statistical state-space model. It describes the tools that are employed for the estimation of various term structure models (see for subsequent work Harvey, 1990; Hamilton, 1994; Gourieroux and Monfort, 1997; Lemke, 2006).
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Notes
- 1.
See Hamilton (1994, p. 378).
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© 2011 Springer-Verlag Berlin Heidelberg
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Geiger, F. (2011). State-Space Model and Maximum Likelihood Estimation. In: The Yield Curve and Financial Risk Premia. Lecture Notes in Economics and Mathematical Systems, vol 654. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-21575-9_10
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DOI: https://doi.org/10.1007/978-3-642-21575-9_10
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