State-Space Model and Maximum Likelihood Estimation

Felix Geiger

Chapter Appendix B in The Yield Curve and Financial Risk Premia, 2011, pp 273-276 from Springer

Abstract: 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).

Keywords: Mean Square Error; Kalman Filter; Posteriori Estimate; Unobservable State; Term Structure Model (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-21575-9_10

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DOI: 10.1007/978-3-642-21575-9_10

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