Term Structure Modeling and Estimation in a State Space Framework PDF

This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany.

It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004.

It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work.

First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com- pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics.

I am also grateful to my second advisor Professor Willi Semmler.

The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models.

I thank Professor Thomas Braun for joining the committee for my oral examination.