Yield curve modeling and forecasting: the dynamic Nelson-Siegel approach Diebold, Francis X.

By:

Diebold, Francis X

Contributor(s):

Rudebusch, Glenn D

Material type: Text

TextPublication details: Princeton University Press 2013 PrincetonDescription: xviii, 203 pISBN:

9780691146805

Subject(s):

DDC classification:

332.632042 D4Y4

Online resources:

e-Book

Summary: 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. http://press.princeton.edu/titles/9895.html

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode	Item holds
Book	Ahmedabad	Non-fiction	332.632042 D4Y4 (Browse shelf(Opens below))	Damaged		194022

Total holds: 0

Table of Contents:

1 Facts, Factors, and Questions
2 Dynamic Nelson-Siegel
3 Arbitrage-Free Nelson-Siegel
4 Extensions
5 Macro-Finance

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.

http://press.princeton.edu/titles/9895.html

There are no comments on this title.

to post a comment.