Springer.Term.Structure.Modeling.and.Estimation.in.a.State.Space.Framework.[2006.ISBN3540283420]

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1、LectureNotesinEconomicsandMathematicalSystems565FoundingEditors:M.BeckmannH.P.KunziManagingEditors:Prof.Dr.G.FandelFachbereichWirtschaftswissenschaftenFemuniversitatHagenFeithstr.140/AVZII,58084Hagen,GermanyProf.Dr.W.TrockelInstitutfurMathematischeWirtschaftsforschung(IMW)Universita

2、tBielefeldUniversitatsstr.25,33615Bielefeld,GermanyEditorialBoard:A.Basile,A.Drexl,H.Dawid,K.Inderfurth,W.Kursten,U.SchittkoWolfgangLemkeTermStructureModelingandEstimationinaStateSpaceFrameworkSpringerAuthorWolfgangLemkeDeutscheBundesbankZentralbereichVolkswirtschaft/EconomicsDepart

3、mentWilhelm-Epstein-StraBe14D-60431FrankfurtamMainE-mail:wolfgang.lemke@bundesbank.deISSN0075-8442ISBN-103-540-28342-0SpringerBerlinHeidelbergNewYorkISBN-13978-3-540-28342-3SpringerBerlinHeidelbergNewYorkThisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthemat

4、erialisconcerned,specificallytherightsoftranslation,reprinting,re-useofillustrations,recitation,broadcasting,reproductiononmicrofilmsorinanyotherway,andstorageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1

5、965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer-Verlag.ViolationsareliableforprosecutionundertheGermanCopyrightLaw.SpringerisapartofSpringerScience+BusinessMediaspringeronline.com©Springer-VerlagBerlinHeidelberg2006PrintedinGermanyTheuseofgeneraldescripti

6、venames,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Typesetting:CamerareadybyauthorCoverdesign:ErichKirchner,HeidelbergPrintedonacid-f

7、reepaper42/3130Jo543210PrefaceThisbookhasbeenpreparedduringmyworkasaresearchassistantattheInstituteforStatisticsandEconometricsoftheEconomicsDepartmentattheUniversityofBielefeld,Germany.ItwasacceptedasaPh.D.thesistitled"TermStructureModelingandEstimationinaStateSpaceFramework"attheD

8、epartmentofEconomic