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Yield curve modeling and forecasting [[electronic resource] ] : the dynamic Nelson-Siegel approach / / Francis X. Diebold and Glenn D. Rudebusch



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Autore: Diebold Francis X. <1959-> Visualizza persona
Titolo: Yield curve modeling and forecasting [[electronic resource] ] : the dynamic Nelson-Siegel approach / / Francis X. Diebold and Glenn D. Rudebusch Visualizza cluster
Pubblicazione: Princeton, : Princeton University Press, c2013
Edizione: Course Book
Descrizione fisica: 1 online resource (225 p.)
Disciplina: 332.63/2042
Soggetto topico: Bonds - Mathematical models
Soggetto non controllato: AFNS
Bayesian analysis
DNS
NelsonГiegel curve fitting
RudebuschЗu model
affine arbitrage-free models
arbitrage-free NelsonГiegel models
arbitrage-free dynamic NelsonГiegel
arbitrage-free models
credit spreads
dynamic NelsonГiegel model
dynamic NelsonГiegel modeling
dynamic yield curve forecasting
dynamic yield curve modeling
factor loadings
forecasting
macro-finance yield curve modeling
multicountry modeling
risk management
stateгpace structure
stochastic volatility
yield curve fitting
yield curve models
yield curve
Altri autori: RudebuschGlenn D. <1959->  
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references and index.
Nota di contenuto: 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 -- Index
Sommario/riassunto: 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.
Titolo autorizzato: Yield curve modeling and forecasting  Visualizza cluster
ISBN: 1-299-05121-9
1-4008-4541-6
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910786024703321
Lo trovi qui: Univ. Federico II
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Serie: Econometric and Tinbergen Institutes lectures.