LEADER 03901nam 2200649 a 450 001 9910463088503321 005 20211029012809.0 010 $a1-299-05121-9 010 $a1-4008-4541-6 024 7 $a10.1515/9781400845415 035 $a(CKB)2670000000329081 035 $a(EBL)1047204 035 $a(OCoLC)824488901 035 $a(SSID)ssj0000818112 035 $a(PQKBManifestationID)11452580 035 $a(PQKBTitleCode)TC0000818112 035 $a(PQKBWorkID)10839873 035 $a(PQKB)10745710 035 $a(MiAaPQ)EBC1047204 035 $a(StDuBDS)EDZ0000407003 035 $a(DE-B1597)447463 035 $a(OCoLC)979758428 035 $a(DE-B1597)9781400845415 035 $a(Au-PeEL)EBL1047204 035 $a(CaPaEBR)ebr10640069 035 $a(CaONFJC)MIL436371 035 $a(EXLCZ)992670000000329081 100 $a20120531d2013 uy 0 101 0 $aeng 135 $aurunu---|u||u 181 $ctxt 182 $cc 183 $acr 200 10$aYield curve modeling and forecasting$b[electronic resource] $ethe dynamic Nelson-Siegel approach /$fFrancis X. Diebold and Glenn D. Rudebusch 205 $aCourse Book 210 $aPrinceton $cPrinceton University Press$dc2013 215 $a1 online resource (225 p.) 225 1 $aThe Econometric and Tinbergen Institutes lectures 300 $aDescription based upon print version of record. 311 0 $a0-691-14680-2 320 $aIncludes bibliographical references and index. 327 $tFront matter --$tContents --$tIllustrations --$tIntroduction --$tPreface --$tAdditional Acknowledgment --$t1. Facts, Factors, and Questions --$t2. Dynamic Nelson-Siegel --$t3. Arbitrage-Free Nelson-Siegel --$t4. Extensions --$t5. Macro-Finance --$t6. Epilogue --$tAppendixes --$tAppendix A: Two-Factor AFNS Calculations --$tAppendix B: Details of AFNS Restrictions --$tAppendix C: The AFGNS Yield-Adjustment Term --$tBibliography --$tIndex 330 $aUnderstanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry. 410 0$aEconometric and Tinbergen Institutes lectures. 606 $aBonds$xMathematical models 608 $aElectronic books. 615 0$aBonds$xMathematical models. 676 $a332.63/2042 700 $aDiebold$b Francis X.$f1959-$0266490 701 $aRudebusch$b Glenn D.$f1959-$0121198 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910463088503321 996 $aYield curve modeling and forecasting$91545195 997 $aUNINA