Yield Curve Modeling and Forecasting : : The Dynamic Nelson-Siegel Approach / / Francis X. Diebold, Glenn D. Rudebusch.
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yi...
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Place / Publishing House: | Princeton, NJ : : Princeton University Press, , [2013] ©2013 |
Year of Publication: | 2013 |
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Language: | English |
Series: | The Econometric and Tinbergen Institutes Lectures
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Diebold, Francis X., author. aut http://id.loc.gov/vocabulary/relators/aut Yield Curve Modeling and Forecasting : The Dynamic Nelson-Siegel Approach / Francis X. Diebold, Glenn D. Rudebusch. Course Book Princeton, NJ : Princeton University Press, [2013] ©2013 1 online resource (224 p.) : 12 line illus. 6 tables. text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda The Econometric and Tinbergen Institutes Lectures Frontmatter -- Contents -- Illustrations -- Introduction -- Preface -- Additional Acknowledgment -- 1. Facts, Factors, and Questions -- 2. Dynamic Nelson-Siegel -- 3. Arbitrage-Free Nelson-Siegel -- 4. Extensions -- 5. Macro-Finance -- 6. Epilogue -- Appendixes -- Appendix A: Two-Factor AFNS Calculations -- Appendix B: Details of AFNS Restrictions -- Appendix C: The AFGNS Yield-Adjustment Term -- Bibliography -- Index restricted access http://purl.org/coar/access_right/c_16ec online access with authorization star Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry. Issued also in print. Mode of access: Internet via World Wide Web. In English. Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021) Bonds Mathematical models. BUSINESS & ECONOMICS / Economics / Theory. bisacsh AFNS. Bayesian analysis. DNS. NelsonГiegel curve fitting. RudebuschЗu model. affine arbitrage-free models. arbitrage-free NelsonГiegel models. arbitrage-free dynamic NelsonГiegel. arbitrage-free models. credit spreads. dynamic NelsonГiegel model. dynamic NelsonГiegel modeling. dynamic yield curve forecasting. dynamic yield curve modeling. factor loadings. forecasting. macro-finance yield curve modeling. multicountry modeling. risk management. stateгpace structure. stochastic volatility. yield curve fitting. yield curve models. yield curve. Rudebusch, Glenn D., author. aut http://id.loc.gov/vocabulary/relators/aut Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 9783110442502 print 9780691146805 https://doi.org/10.1515/9781400845415?locatt=mode:legacy https://www.degruyter.com/isbn/9781400845415 Cover https://www.degruyter.com/cover/covers/9781400845415.jpg |
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English |
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eBook |
author |
Diebold, Francis X., Diebold, Francis X., Rudebusch, Glenn D., |
spellingShingle |
Diebold, Francis X., Diebold, Francis X., Rudebusch, Glenn D., Yield Curve Modeling and Forecasting : The Dynamic Nelson-Siegel Approach / The Econometric and Tinbergen Institutes Lectures Frontmatter -- Contents -- Illustrations -- Introduction -- Preface -- Additional Acknowledgment -- 1. Facts, Factors, and Questions -- 2. Dynamic Nelson-Siegel -- 3. Arbitrage-Free Nelson-Siegel -- 4. Extensions -- 5. Macro-Finance -- 6. Epilogue -- Appendixes -- Appendix A: Two-Factor AFNS Calculations -- Appendix B: Details of AFNS Restrictions -- Appendix C: The AFGNS Yield-Adjustment Term -- Bibliography -- Index |
author_facet |
Diebold, Francis X., Diebold, Francis X., Rudebusch, Glenn D., Rudebusch, Glenn D., Rudebusch, Glenn D., |
author_variant |
f x d fx fxd f x d fx fxd g d r gd gdr |
author_role |
VerfasserIn VerfasserIn VerfasserIn |
author2 |
Rudebusch, Glenn D., Rudebusch, Glenn D., |
author2_variant |
g d r gd gdr |
author2_role |
VerfasserIn VerfasserIn |
author_sort |
Diebold, Francis X., |
title |
Yield Curve Modeling and Forecasting : The Dynamic Nelson-Siegel Approach / |
title_sub |
The Dynamic Nelson-Siegel Approach / |
title_full |
Yield Curve Modeling and Forecasting : The Dynamic Nelson-Siegel Approach / Francis X. Diebold, Glenn D. Rudebusch. |
title_fullStr |
Yield Curve Modeling and Forecasting : The Dynamic Nelson-Siegel Approach / Francis X. Diebold, Glenn D. Rudebusch. |
title_full_unstemmed |
Yield Curve Modeling and Forecasting : The Dynamic Nelson-Siegel Approach / Francis X. Diebold, Glenn D. Rudebusch. |
title_auth |
Yield Curve Modeling and Forecasting : The Dynamic Nelson-Siegel Approach / |
title_alt |
Frontmatter -- Contents -- Illustrations -- Introduction -- Preface -- Additional Acknowledgment -- 1. Facts, Factors, and Questions -- 2. Dynamic Nelson-Siegel -- 3. Arbitrage-Free Nelson-Siegel -- 4. Extensions -- 5. Macro-Finance -- 6. Epilogue -- Appendixes -- Appendix A: Two-Factor AFNS Calculations -- Appendix B: Details of AFNS Restrictions -- Appendix C: The AFGNS Yield-Adjustment Term -- Bibliography -- Index |
title_new |
Yield Curve Modeling and Forecasting : |
title_sort |
yield curve modeling and forecasting : the dynamic nelson-siegel approach / |
series |
The Econometric and Tinbergen Institutes Lectures |
series2 |
The Econometric and Tinbergen Institutes Lectures |
publisher |
Princeton University Press, |
publishDate |
2013 |
physical |
1 online resource (224 p.) : 12 line illus. 6 tables. Issued also in print. |
edition |
Course Book |
contents |
Frontmatter -- Contents -- Illustrations -- Introduction -- Preface -- Additional Acknowledgment -- 1. Facts, Factors, and Questions -- 2. Dynamic Nelson-Siegel -- 3. Arbitrage-Free Nelson-Siegel -- 4. Extensions -- 5. Macro-Finance -- 6. Epilogue -- Appendixes -- Appendix A: Two-Factor AFNS Calculations -- Appendix B: Details of AFNS Restrictions -- Appendix C: The AFGNS Yield-Adjustment Term -- Bibliography -- Index |
isbn |
9781400845415 9783110442502 9780691146805 |
callnumber-first |
H - Social Science |
callnumber-subject |
HG - Finance |
callnumber-label |
HG4651 |
callnumber-sort |
HG 44651 D537 42017 |
url |
https://doi.org/10.1515/9781400845415?locatt=mode:legacy https://www.degruyter.com/isbn/9781400845415 https://www.degruyter.com/cover/covers/9781400845415.jpg |
illustrated |
Illustrated |
dewey-hundreds |
300 - Social sciences |
dewey-tens |
330 - Economics |
dewey-ones |
332 - Financial economics |
dewey-full |
332.632042 |
dewey-sort |
3332.632042 |
dewey-raw |
332.632042 |
dewey-search |
332.632042 |
doi_str_mv |
10.1515/9781400845415?locatt=mode:legacy |
oclc_num |
824488901 |
work_keys_str_mv |
AT dieboldfrancisx yieldcurvemodelingandforecastingthedynamicnelsonsiegelapproach AT rudebuschglennd yieldcurvemodelingandforecastingthedynamicnelsonsiegelapproach |
status_str |
n |
ids_txt_mv |
(DE-B1597)447463 (OCoLC)824488901 |
carrierType_str_mv |
cr |
hierarchy_parent_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
is_hierarchy_title |
Yield Curve Modeling and Forecasting : The Dynamic Nelson-Siegel Approach / |
container_title |
Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
author2_original_writing_str_mv |
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