Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton, N.J.
Princeton University Press
[2013]
|
| Schriftenreihe: | The Econometric and Tinbergen Institutes Lectures
|
| Schlagworte: | |
| Online-Zugang: | DE-1043 DE-1046 DE-858 DE-859 DE-860 DE-473 DE-739 Volltext |
| Beschreibung: | 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 |
| Beschreibung: | 1 Online-Ressource (224p.) |
| ISBN: | 9781400845415 |
| DOI: | 10.1515/9781400845415 |
Internformat
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Datensatz im Suchindex
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| adam_text | |
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| author | Diebold, Francis X. |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1515/9781400845415 |
| format | Electronic eBook |
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| id | DE-604.BV042523070 |
| illustrated | Not Illustrated |
| indexdate | 2025-02-18T15:07:29Z |
| institution | BVB |
| isbn | 9781400845415 |
| language | English |
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| spelling | Diebold, Francis X. Verfasser aut Yield Curve Modeling and Forecasting The Dynamic Nelson-Siegel Approach Francis X. Diebold, Glenn D. Rudebusch Princeton, N.J. Princeton University Press [2013] 1 Online-Ressource (224p.) txt rdacontent c rdamedia cr rdacarrier The Econometric and Tinbergen Institutes Lectures 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 In English Wirtschaft Bonds / Mathematical models BUSINESS & ECONOMICS / Investments & Securities / General BUSINESS & ECONOMICS / Statistics Mathematisches Modell Statistik Zinsertragskurve (DE-588)4419655-6 gnd rswk-swf Prognoseverfahren (DE-588)4358095-6 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Zinsertragskurve (DE-588)4419655-6 s Prognoseverfahren (DE-588)4358095-6 s Mathematisches Modell (DE-588)4114528-8 s 1\p DE-604 Rudebusch, Glenn D. Sonstige oth https://doi.org/10.1515/9781400845415 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Diebold, Francis X. Yield Curve Modeling and Forecasting The Dynamic Nelson-Siegel Approach Wirtschaft Bonds / Mathematical models BUSINESS & ECONOMICS / Investments & Securities / General BUSINESS & ECONOMICS / Statistics Mathematisches Modell Statistik Zinsertragskurve (DE-588)4419655-6 gnd Prognoseverfahren (DE-588)4358095-6 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4419655-6 (DE-588)4358095-6 (DE-588)4114528-8 |
| 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, 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_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 | Wirtschaft Bonds / Mathematical models BUSINESS & ECONOMICS / Investments & Securities / General BUSINESS & ECONOMICS / Statistics Mathematisches Modell Statistik Zinsertragskurve (DE-588)4419655-6 gnd Prognoseverfahren (DE-588)4358095-6 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Wirtschaft Bonds / Mathematical models BUSINESS & ECONOMICS / Investments & Securities / General BUSINESS & ECONOMICS / Statistics Mathematisches Modell Statistik Zinsertragskurve Prognoseverfahren |
| url | https://doi.org/10.1515/9781400845415 |
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