03901nam 2200649 a 450 991046308850332120211029012809.01-299-05121-91-4008-4541-610.1515/9781400845415(CKB)2670000000329081(EBL)1047204(OCoLC)824488901(SSID)ssj0000818112(PQKBManifestationID)11452580(PQKBTitleCode)TC0000818112(PQKBWorkID)10839873(PQKB)10745710(MiAaPQ)EBC1047204(StDuBDS)EDZ0000407003(DE-B1597)447463(OCoLC)979758428(DE-B1597)9781400845415(Au-PeEL)EBL1047204(CaPaEBR)ebr10640069(CaONFJC)MIL436371(EXLCZ)99267000000032908120120531d2013 uy 0engurunu---|u||utxtccrYield curve modeling and forecasting[electronic resource] the dynamic Nelson-Siegel approach /Francis X. Diebold and Glenn D. RudebuschCourse BookPrinceton Princeton University Pressc20131 online resource (225 p.)The Econometric and Tinbergen Institutes lecturesDescription based upon print version of record.0-691-14680-2 Includes bibliographical references and index.Front matter --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 --IndexUnderstanding 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.Econometric and Tinbergen Institutes lectures.BondsMathematical modelsElectronic books.BondsMathematical models.332.63/2042Diebold Francis X.1959-266490Rudebusch Glenn D.1959-121198MiAaPQMiAaPQMiAaPQBOOK9910463088503321Yield curve modeling and forecasting1545195UNINA