Yield curve modeling and forecasting :: the dynamic Nelson-Siegel approach /
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...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton :
Princeton University Press,
©2013.
|
| Schriftenreihe: | Econometric and Tinbergen Institutes lectures.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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 rigorou. |
| Beschreibung: | 1 online resource (xviii, 203 pages) : illustrations |
| Bibliographie: | Includes bibliographical references and index. |
| ISBN: | 1400845416 9781400845415 |
Internformat
MARC
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| 245 | 1 | 0 | |a Yield curve modeling and forecasting : |b the dynamic Nelson-Siegel approach / |c Francis X. Diebold, Glenn D. Rudebusch. |
| 260 | |a Princeton : |b Princeton University Press, |c ©2013. | ||
| 300 | |a 1 online resource (xviii, 203 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
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| 490 | 1 | |a The Econometric and Tinbergen Institutes lectures | |
| 504 | |a Includes bibliographical references and index. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a 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 rigorou. | ||
| 505 | 0 | |a Cover; Yield Curve Modeling and Forecasting; THE ECONOMETRIC AND TINBERGEN INSTITUTES LECTURES; Title; Copyright; Dedication; Contents; List of Illustrations; Illustrations; Figures; Tables; 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; 1.1 Bond Yields in Three Dimensions; 1.4 Yield Curve Factors; 1.1 Bond Yield Statistics; 1.2 Yield Spread Statistics; 1.2 Bond Yields in Two Dimensions; 1.3 Bond Yield Principal Components; 1.3 Yield Principal Components Statistics. | |
| 505 | 8 | |a 1.4 Empirical Level, Slope, and Curvature and First Three Principal Components of Bond Yields1.5 Yield Curve Questions; 1.6 Onward; 2 Dynamic Nelson-Siegel; 2.1 Curve Fitting; 2.2 Introducing Dynamics; 2.1 DNS Factor Loadings; 2.3 State-Space Representation; 2.4 Estimation; 2.5 Multicountry Modeling; 2.6 Risk Management; 2.7 DNS Fit and Forecasting; 2.2 Out-of-Sample Forecasting Performance: DNS vs. Random Walk; 3 Arbitrage-Free Nelson-Siegel; 3.1 A Two-Factor Warm-Up; 3.2 The Duffie-Kan Framework; 3.3 Making DNS Arbitrage-Free; 3.4 Workhorse Models; 3.5 AFNS Restrictions on A0(3). | |
| 505 | 8 | |a 3.6 Estimation3.1 AFNS Parameter Restrictions on the Canonical A0(3) Model; 3.7 AFNS Fit and Forecasting; 3.2 Out-of-Sample Forecasting Performance: Four DNS and AFNS Models; 3.3 Out-of-Sample Forecasting Performance: Random Walk, A0(3), and AFNSindep; 4 Extensions; 4.1 Variations on the Basic Theme; 4.2 Additional Yield Factors; 4.1 DNSS Factor Loadings; 4.2 DGNS Factor Loadings; 4.3 Stochastic Volatility; 4.4 Macroeconomic Fundamentals; 5 Macro-Finance; 5.1 Macro-Finance Yield Curve Modeling; 5.2 Macro-Finance and AFNS; 5.1 Nominal and Real Yields and BEI Rates. | |
| 505 | 8 | |a 5.2 BEI Rates and Expected Inflation5.3 Probabilities of Nonpositive Net Inflation; 5.4 LIBOR Spreads; 5.3 Evolving Research Directions; 6 Epilogue; 6.1 Is Imposition of No-Arbitrage Helpful?; 6.2 Is AFNS the Only Tractable A0(3) Model?; 6.3 Is AFNS Special?; Appendixes; Appendix A Two-Factor AFNS Calculations; A.1 Risk-Neutral Probability; A.2 Euler Equation; Appendix B Details of AFNS Restrictions; B.1 Independent-Factor AFNS; B.2 Correlated-Factor AFNS; Appendix C The AFGNS Yield-Adjustment Term; Bibliography; Index. | |
| 546 | |a In English. | ||
| 650 | 0 | |a Bonds |x Mathematical models. | |
| 650 | 6 | |a Obligations (Valeurs) |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Statistics. |2 bisacsh | |
| 650 | 7 | |a Bonds |x Mathematical models |2 fast | |
| 700 | 1 | |a Rudebusch, Glenn D., |d 1959- |e author. |1 https://id.oclc.org/worldcat/entity/E39PBJbtqJkTYHxykvqbTFHgrq |0 http://id.loc.gov/authorities/names/n86036455 | |
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| 773 | 0 | 8 | |i Druckausg.: |a Diebold, Francis X. |t Yield curve modeling and forecasting. |
| 776 | 0 | 8 | |i Print version: |a Diebold, Francis X., 1959- |t Yield curve modeling and forecasting. |d Princeton : Princeton University Press, ©2013 |z 9780691146805 |w (DLC) 2012020360 |w (OCoLC)792880998 |
| 830 | 0 | |a Econometric and Tinbergen Institutes lectures. |0 http://id.loc.gov/authorities/names/no2010038803 | |
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Datensatz im Suchindex
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| _version_ | 1816882219762843649 |
| adam_text | |
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| author | Diebold, Francis X., 1959- Rudebusch, Glenn D., 1959- |
| author_GND | http://id.loc.gov/authorities/names/n87917366 http://id.loc.gov/authorities/names/n86036455 |
| author_facet | Diebold, Francis X., 1959- Rudebusch, Glenn D., 1959- |
| author_role | aut aut |
| author_sort | Diebold, Francis X., 1959- |
| author_variant | f x d fx fxd g d r gd gdr |
| building | Verbundindex |
| bvnumber | localFWS |
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| contents | Cover; Yield Curve Modeling and Forecasting; THE ECONOMETRIC AND TINBERGEN INSTITUTES LECTURES; Title; Copyright; Dedication; Contents; List of Illustrations; Illustrations; Figures; Tables; 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; 1.1 Bond Yields in Three Dimensions; 1.4 Yield Curve Factors; 1.1 Bond Yield Statistics; 1.2 Yield Spread Statistics; 1.2 Bond Yields in Two Dimensions; 1.3 Bond Yield Principal Components; 1.3 Yield Principal Components Statistics. 1.4 Empirical Level, Slope, and Curvature and First Three Principal Components of Bond Yields1.5 Yield Curve Questions; 1.6 Onward; 2 Dynamic Nelson-Siegel; 2.1 Curve Fitting; 2.2 Introducing Dynamics; 2.1 DNS Factor Loadings; 2.3 State-Space Representation; 2.4 Estimation; 2.5 Multicountry Modeling; 2.6 Risk Management; 2.7 DNS Fit and Forecasting; 2.2 Out-of-Sample Forecasting Performance: DNS vs. Random Walk; 3 Arbitrage-Free Nelson-Siegel; 3.1 A Two-Factor Warm-Up; 3.2 The Duffie-Kan Framework; 3.3 Making DNS Arbitrage-Free; 3.4 Workhorse Models; 3.5 AFNS Restrictions on A0(3). 3.6 Estimation3.1 AFNS Parameter Restrictions on the Canonical A0(3) Model; 3.7 AFNS Fit and Forecasting; 3.2 Out-of-Sample Forecasting Performance: Four DNS and AFNS Models; 3.3 Out-of-Sample Forecasting Performance: Random Walk, A0(3), and AFNSindep; 4 Extensions; 4.1 Variations on the Basic Theme; 4.2 Additional Yield Factors; 4.1 DNSS Factor Loadings; 4.2 DGNS Factor Loadings; 4.3 Stochastic Volatility; 4.4 Macroeconomic Fundamentals; 5 Macro-Finance; 5.1 Macro-Finance Yield Curve Modeling; 5.2 Macro-Finance and AFNS; 5.1 Nominal and Real Yields and BEI Rates. 5.2 BEI Rates and Expected Inflation5.3 Probabilities of Nonpositive Net Inflation; 5.4 LIBOR Spreads; 5.3 Evolving Research Directions; 6 Epilogue; 6.1 Is Imposition of No-Arbitrage Helpful?; 6.2 Is AFNS the Only Tractable A0(3) Model?; 6.3 Is AFNS Special?; Appendixes; Appendix A Two-Factor AFNS Calculations; A.1 Risk-Neutral Probability; A.2 Euler Equation; Appendix B Details of AFNS Restrictions; B.1 Independent-Factor AFNS; B.2 Correlated-Factor AFNS; Appendix C The AFGNS Yield-Adjustment Term; Bibliography; Index. |
| ctrlnum | (OCoLC)824488901 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2042 |
| dewey-search | 332.63/2042 |
| dewey-sort | 3332.63 42042 |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBA-ocn824488901 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:25:08Z |
| institution | BVB |
| isbn | 1400845416 9781400845415 |
| language | English |
| lccn | 2012020360 |
| oclc_num | 824488901 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xviii, 203 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Princeton University Press, |
| record_format | marc |
| series | Econometric and Tinbergen Institutes lectures. |
| series2 | The Econometric and Tinbergen Institutes lectures |
| spelling | Diebold, Francis X., 1959- author. https://id.oclc.org/worldcat/entity/E39PBJgX8t8fqhTDQWFfRyYgKd http://id.loc.gov/authorities/names/n87917366 Yield curve modeling and forecasting : the dynamic Nelson-Siegel approach / Francis X. Diebold, Glenn D. Rudebusch. Princeton : Princeton University Press, ©2013. 1 online resource (xviii, 203 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier text file PDF rda The Econometric and Tinbergen Institutes lectures Includes bibliographical references and index. Print version record. 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 rigorou. Cover; Yield Curve Modeling and Forecasting; THE ECONOMETRIC AND TINBERGEN INSTITUTES LECTURES; Title; Copyright; Dedication; Contents; List of Illustrations; Illustrations; Figures; Tables; 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; 1.1 Bond Yields in Three Dimensions; 1.4 Yield Curve Factors; 1.1 Bond Yield Statistics; 1.2 Yield Spread Statistics; 1.2 Bond Yields in Two Dimensions; 1.3 Bond Yield Principal Components; 1.3 Yield Principal Components Statistics. 1.4 Empirical Level, Slope, and Curvature and First Three Principal Components of Bond Yields1.5 Yield Curve Questions; 1.6 Onward; 2 Dynamic Nelson-Siegel; 2.1 Curve Fitting; 2.2 Introducing Dynamics; 2.1 DNS Factor Loadings; 2.3 State-Space Representation; 2.4 Estimation; 2.5 Multicountry Modeling; 2.6 Risk Management; 2.7 DNS Fit and Forecasting; 2.2 Out-of-Sample Forecasting Performance: DNS vs. Random Walk; 3 Arbitrage-Free Nelson-Siegel; 3.1 A Two-Factor Warm-Up; 3.2 The Duffie-Kan Framework; 3.3 Making DNS Arbitrage-Free; 3.4 Workhorse Models; 3.5 AFNS Restrictions on A0(3). 3.6 Estimation3.1 AFNS Parameter Restrictions on the Canonical A0(3) Model; 3.7 AFNS Fit and Forecasting; 3.2 Out-of-Sample Forecasting Performance: Four DNS and AFNS Models; 3.3 Out-of-Sample Forecasting Performance: Random Walk, A0(3), and AFNSindep; 4 Extensions; 4.1 Variations on the Basic Theme; 4.2 Additional Yield Factors; 4.1 DNSS Factor Loadings; 4.2 DGNS Factor Loadings; 4.3 Stochastic Volatility; 4.4 Macroeconomic Fundamentals; 5 Macro-Finance; 5.1 Macro-Finance Yield Curve Modeling; 5.2 Macro-Finance and AFNS; 5.1 Nominal and Real Yields and BEI Rates. 5.2 BEI Rates and Expected Inflation5.3 Probabilities of Nonpositive Net Inflation; 5.4 LIBOR Spreads; 5.3 Evolving Research Directions; 6 Epilogue; 6.1 Is Imposition of No-Arbitrage Helpful?; 6.2 Is AFNS the Only Tractable A0(3) Model?; 6.3 Is AFNS Special?; Appendixes; Appendix A Two-Factor AFNS Calculations; A.1 Risk-Neutral Probability; A.2 Euler Equation; Appendix B Details of AFNS Restrictions; B.1 Independent-Factor AFNS; B.2 Correlated-Factor AFNS; Appendix C The AFGNS Yield-Adjustment Term; Bibliography; Index. In English. Bonds Mathematical models. Obligations (Valeurs) Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Bonds Mathematical models fast Rudebusch, Glenn D., 1959- author. https://id.oclc.org/worldcat/entity/E39PBJbtqJkTYHxykvqbTFHgrq http://id.loc.gov/authorities/names/n86036455 has work: Yield curve modeling and forecasting (Text) https://id.oclc.org/worldcat/entity/E39PCFJbrJ3qyc9JHVBC4kQtXd https://id.oclc.org/worldcat/ontology/hasWork Druckausg.: Diebold, Francis X. Yield curve modeling and forecasting. Print version: Diebold, Francis X., 1959- Yield curve modeling and forecasting. Princeton : Princeton University Press, ©2013 9780691146805 (DLC) 2012020360 (OCoLC)792880998 Econometric and Tinbergen Institutes lectures. http://id.loc.gov/authorities/names/no2010038803 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=484849 Volltext |
| spellingShingle | Diebold, Francis X., 1959- Rudebusch, Glenn D., 1959- Yield curve modeling and forecasting : the dynamic Nelson-Siegel approach / Econometric and Tinbergen Institutes lectures. Cover; Yield Curve Modeling and Forecasting; THE ECONOMETRIC AND TINBERGEN INSTITUTES LECTURES; Title; Copyright; Dedication; Contents; List of Illustrations; Illustrations; Figures; Tables; 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; 1.1 Bond Yields in Three Dimensions; 1.4 Yield Curve Factors; 1.1 Bond Yield Statistics; 1.2 Yield Spread Statistics; 1.2 Bond Yields in Two Dimensions; 1.3 Bond Yield Principal Components; 1.3 Yield Principal Components Statistics. 1.4 Empirical Level, Slope, and Curvature and First Three Principal Components of Bond Yields1.5 Yield Curve Questions; 1.6 Onward; 2 Dynamic Nelson-Siegel; 2.1 Curve Fitting; 2.2 Introducing Dynamics; 2.1 DNS Factor Loadings; 2.3 State-Space Representation; 2.4 Estimation; 2.5 Multicountry Modeling; 2.6 Risk Management; 2.7 DNS Fit and Forecasting; 2.2 Out-of-Sample Forecasting Performance: DNS vs. Random Walk; 3 Arbitrage-Free Nelson-Siegel; 3.1 A Two-Factor Warm-Up; 3.2 The Duffie-Kan Framework; 3.3 Making DNS Arbitrage-Free; 3.4 Workhorse Models; 3.5 AFNS Restrictions on A0(3). 3.6 Estimation3.1 AFNS Parameter Restrictions on the Canonical A0(3) Model; 3.7 AFNS Fit and Forecasting; 3.2 Out-of-Sample Forecasting Performance: Four DNS and AFNS Models; 3.3 Out-of-Sample Forecasting Performance: Random Walk, A0(3), and AFNSindep; 4 Extensions; 4.1 Variations on the Basic Theme; 4.2 Additional Yield Factors; 4.1 DNSS Factor Loadings; 4.2 DGNS Factor Loadings; 4.3 Stochastic Volatility; 4.4 Macroeconomic Fundamentals; 5 Macro-Finance; 5.1 Macro-Finance Yield Curve Modeling; 5.2 Macro-Finance and AFNS; 5.1 Nominal and Real Yields and BEI Rates. 5.2 BEI Rates and Expected Inflation5.3 Probabilities of Nonpositive Net Inflation; 5.4 LIBOR Spreads; 5.3 Evolving Research Directions; 6 Epilogue; 6.1 Is Imposition of No-Arbitrage Helpful?; 6.2 Is AFNS the Only Tractable A0(3) Model?; 6.3 Is AFNS Special?; Appendixes; Appendix A Two-Factor AFNS Calculations; A.1 Risk-Neutral Probability; A.2 Euler Equation; Appendix B Details of AFNS Restrictions; B.1 Independent-Factor AFNS; B.2 Correlated-Factor AFNS; Appendix C The AFGNS Yield-Adjustment Term; Bibliography; Index. Bonds Mathematical models. Obligations (Valeurs) Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Bonds Mathematical models fast |
| 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 | Bonds Mathematical models. Obligations (Valeurs) Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh BUSINESS & ECONOMICS Statistics. bisacsh Bonds Mathematical models fast |
| topic_facet | Bonds Mathematical models. Obligations (Valeurs) Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. BUSINESS & ECONOMICS Statistics. Bonds Mathematical models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=484849 |
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