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Yield curve modeling and forecasting [[electronic resource] ] : the dynamic Nelson-Siegel approach / / Francis X. Diebold and Glenn D. Rudebusch
Yield curve modeling and forecasting [[electronic resource] ] : the dynamic Nelson-Siegel approach / / Francis X. Diebold and Glenn D. Rudebusch
Autore Diebold Francis X. <1959->
Edizione [Course Book]
Pubbl/distr/stampa Princeton, : Princeton University Press, c2013
Descrizione fisica 1 online resource (225 p.)
Disciplina 332.63/2042
Altri autori (Persone) RudebuschGlenn D. <1959->
Collana The Econometric and Tinbergen Institutes lectures
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
ISBN 1-299-05121-9
1-4008-4541-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
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
Record Nr. UNINA-9910786024703321
Diebold Francis X. <1959->  
Princeton, : Princeton University Press, c2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Yield curve modeling and forecasting : the dynamic Nelson-Siegel approach / / Francis X. Diebold and Glenn D. Rudebusch
Yield curve modeling and forecasting : the dynamic Nelson-Siegel approach / / Francis X. Diebold and Glenn D. Rudebusch
Autore Diebold Francis X. <1959->
Edizione [Course Book]
Pubbl/distr/stampa Princeton, : Princeton University Press, c2013
Descrizione fisica 1 online resource (225 p.)
Disciplina 332.63/2042
Altri autori (Persone) RudebuschGlenn D. <1959->
Collana The Econometric and Tinbergen Institutes lectures
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
ISBN 1-299-05121-9
1-4008-4541-6
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
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
Record Nr. UNINA-9910809556703321
Diebold Francis X. <1959->  
Princeton, : Princeton University Press, c2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui