Yield curve modeling and forecasting: the dynamic Nelson-Siegel approach
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton [u.a.]
Princeton Univ. Press
2013
|
| Schriftenreihe: | The Econometric and Tinbergen Institutes lectures
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVIII, 203 S. graph. Darst. |
| ISBN: | 9780691146805 |
Internformat
MARC
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| 035 | |a (OCoLC)844041598 | ||
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| 100 | 1 | |a Diebold, Francis X. |d 1959- |e Verfasser |0 (DE-588)123909104 |4 aut | |
| 245 | 1 | 0 | |a Yield curve modeling and forecasting |b the dynamic Nelson-Siegel approach |c Francis X. Diebold and Glenn D. Rudebusch |
| 264 | 1 | |a Princeton [u.a.] |b Princeton Univ. Press |c 2013 | |
| 300 | |a XVIII, 203 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a The Econometric and Tinbergen Institutes lectures | |
| 650 | 4 | |a Mathematisches Modell | |
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| 650 | 0 | 7 | |a Prognoseverfahren |0 (DE-588)4358095-6 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
| _version_ | 1804150208437682176 |
|---|---|
| adam_text | Contents
List of Illustrations
Introduction
Preface
Additional Acknowledgment
1
Facts, Factors, and Questions
1.1
Three Interest Rate Curves
1.2
Zero-Coupon Yields
1.3
Yield Curve Facts
1.4
Yield Curve Factors
1.5
Yield Curve Questions
1.6
Onward
2
Dynamic
Nelson-Siegel
2.1
Curve Fitting
2.2
Introducing Dynamics
2.3
State-Space Representation
2.4
Estimation
2.5
Multicountry Modeling
2.6
Risk Management
2.7
DNS Fit and Forecasting
IX
Xlii
xvii
1
2
3
4
7
13
22
23
23
26
30
34
42
46
49
Arbitrage-Free
Nelson-Siegel 55
3.1
A Two-Factor Warm-Up
58
3.2
The Duffie-Kan Framework
62
Contents
3.3
Making DNS
Arbitrage-Pree
64
3.4
Workhorse Models
78
3.5
AFNS Restrictions on Ao(3)
83
3.6
Estimation
86
3.7
AFNS Fit and Forecasting
90
Extensions
96
4.1
Variations on the Basic Theme
96
4.2
Additional Yield Factors
105
4.3
Stochastic Volatility
113
4.4
Macroeconomic
Fundamentals
117
Macro-Finance
126
5.1
Macro-Finance Yield Curve Modeling
126
5.2
Macro-Finance and AFNS
131
5.3
Evolving Research Directions
144
Epilogue
149
6.1
Is Imposition of No-Arbitrage Helpful7
151
6.2
Is AFNS the Only Tractable A0(3) Model7
153
6.3
Is AFNS Special?
155
Appendixes
159
Appendix A Two-Factor AFNS Calculations
161
A.I Risk-Neutral Probability
161
A.
2
Euler
Equation
163
Appendix
В
Details of AFNS Restrictions
166
B.I Independent-Factor AFNS
168
B.2 Correlated-Factor AFNS
171
Appendix
С
The AFGNS Yield-Adjustment
Term
174
Bibliography
179
Index
197
|
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| discipline | Mathematik Wirtschaftswissenschaften |
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| id | DE-604.BV040915555 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:35:16Z |
| institution | BVB |
| isbn | 9780691146805 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025894796 |
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| physical | XVIII, 203 S. graph. Darst. |
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| series2 | The Econometric and Tinbergen Institutes lectures |
| spelling | Diebold, Francis X. 1959- Verfasser (DE-588)123909104 aut Yield curve modeling and forecasting the dynamic Nelson-Siegel approach Francis X. Diebold and Glenn D. Rudebusch Princeton [u.a.] Princeton Univ. Press 2013 XVIII, 203 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Econometric and Tinbergen Institutes lectures Mathematisches Modell Bonds Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Zinsertragskurve (DE-588)4419655-6 gnd rswk-swf Prognoseverfahren (DE-588)4358095-6 gnd rswk-swf Zinsertragskurve (DE-588)4419655-6 s Prognoseverfahren (DE-588)4358095-6 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Rudebusch, Glenn D. 1959- Verfasser (DE-588)111298970 aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025894796&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Diebold, Francis X. 1959- Rudebusch, Glenn D. 1959- Yield curve modeling and forecasting the dynamic Nelson-Siegel approach Mathematisches Modell Bonds Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Zinsertragskurve (DE-588)4419655-6 gnd Prognoseverfahren (DE-588)4358095-6 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4419655-6 (DE-588)4358095-6 |
| title | Yield curve modeling and forecasting the dynamic Nelson-Siegel approach |
| title_auth | Yield curve modeling and forecasting the dynamic Nelson-Siegel approach |
| title_exact_search | Yield curve modeling and forecasting the dynamic Nelson-Siegel approach |
| title_full | Yield curve modeling and forecasting the dynamic Nelson-Siegel approach Francis X. Diebold and Glenn D. Rudebusch |
| title_fullStr | Yield curve modeling and forecasting the dynamic Nelson-Siegel approach Francis X. Diebold and Glenn D. Rudebusch |
| title_full_unstemmed | Yield curve modeling and forecasting the dynamic Nelson-Siegel approach Francis X. Diebold and Glenn D. Rudebusch |
| title_short | Yield curve modeling and forecasting |
| title_sort | yield curve modeling and forecasting the dynamic nelson siegel approach |
| title_sub | the dynamic Nelson-Siegel approach |
| topic | Mathematisches Modell Bonds Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Zinsertragskurve (DE-588)4419655-6 gnd Prognoseverfahren (DE-588)4358095-6 gnd |
| topic_facet | Mathematisches Modell Bonds Mathematical models Zinsertragskurve Prognoseverfahren |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025894796&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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