Yield Curve Modeling and Forecasting : : The Dynamic Nelson-Siegel Approach /

Yield Curve Modeling and Forecasting : : The Dynamic Nelson-Siegel Approach / / Francis X. Diebold, Glenn D. Rudebusch.

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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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Bibliographic Details
Superior document:Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
VerfasserIn:
Diebold, Francis X.,
Rudebusch, Glenn D.,
Place / Publishing House:Princeton, NJ : : Princeton University Press, , [2013]
©2013
Year of Publication:2013
Edition:Course Book
Language:English
Series:The Econometric and Tinbergen Institutes Lectures
Online Access:
Physical Description:1 online resource (224 p.) :; 12 line illus. 6 tables.
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Table of 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

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