Yield curve modeling and forecasting: the dynamic Nelson-Siegel approach Diebold, Francis X.
Material type: TextPublication details: Princeton University Press 2013 PrincetonDescription: xviii, 203 pISBN:- 9780691146805
- 332.632042 D4Y4
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 |
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.
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