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Cover: 9780691146805 | Yield Curve Modeling and Forecasting | Francis X. Diebold (u. a.)
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Yield Curve Modeling and Forecasting
The Dynamic Nelson-Siegel Approach
Buch von Francis X. Diebold (u. a.)
Sprache: Englisch

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Beschreibung
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.
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.
Über den Autor
Francis X. Diebold is the Paul F. and Warren S. Miller Professor of Economics at the University of Pennsylvania and professor of finance and statistics at the university's Wharton School. Glenn D. Rudebusch is executive vice president and director of economic research at the Federal Reserve Bank of San Francisco. They are the coauthors of Business Cycles: Durations, Dynamics, and Forecasting (Princeton).
Details
Erscheinungsjahr: 2013
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
ISBN-13: 9780691146805
ISBN-10: 0691146802
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Diebold, Francis X.
Rudebusch, Glenn D.
Hersteller: Princeton University Press
Maße: 222 x 145 x 17 mm
Von/Mit: Francis X. Diebold (u. a.)
Erscheinungsdatum: 15.01.2013
Gewicht: 0,455 kg
Artikel-ID: 106429860
Über den Autor
Francis X. Diebold is the Paul F. and Warren S. Miller Professor of Economics at the University of Pennsylvania and professor of finance and statistics at the university's Wharton School. Glenn D. Rudebusch is executive vice president and director of economic research at the Federal Reserve Bank of San Francisco. They are the coauthors of Business Cycles: Durations, Dynamics, and Forecasting (Princeton).
Details
Erscheinungsjahr: 2013
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
ISBN-13: 9780691146805
ISBN-10: 0691146802
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Diebold, Francis X.
Rudebusch, Glenn D.
Hersteller: Princeton University Press
Maße: 222 x 145 x 17 mm
Von/Mit: Francis X. Diebold (u. a.)
Erscheinungsdatum: 15.01.2013
Gewicht: 0,455 kg
Artikel-ID: 106429860
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