Yield curve modeling and forecasting
Subtitle: the dynamic Nelson-Siegel approach
By: Francis X. Diebold, Glenn D. Rudebusch
Contributors: Rudebusch, Glenn D., 1959-
Series: The Econometric and Tinbergen Institutes lectures
Publisher: Princeton University Press
Published: 2013
Place of publication: Princeton
Language: eng
Number of pages: 203
ISBN-13: 9780691146805
Subjects: Mathematical models; Bonds
Description: 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 rigorou.
Notes: Includes bibliographical references and index.