Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

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9780691146805: Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

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.

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Recensione:

"Diebold and Rudebusch have succeeded in writing a milestone book that will be used variously as a standard reference, a guide for future research topics, a text book, or as a convenient introduction to the topics of yield curve modeling and macro-finance. Hence, while forecasting (especially about the future) is always fraught with peril, I'm confident that copies of the book will find their way into many collections, and that they will be actively used when they get there." --Leo Krippner, International Review of Economics and Finance

"[T]he methods presented in the book are of great importance in financial market practice. The book is designed for academics, students, and practitioners working in yield curve modeling and forecasting, and it will be useful for all interested in bond markets and their links with the macroeconomic environment." --Malgorzata Doman, Zentralblatt MATH

L'autore:

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).

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Francis X. Diebold, Glenn D. Rudebusch
Editore: Princeton University Press, United States (2013)
ISBN 10: 0691146802 ISBN 13: 9780691146805
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Descrizione libro Princeton University Press, United States, 2013. Hardback. Condizione libro: New. 216 x 140 mm. Language: English . Brand New Book. 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. Codice libro della libreria AAZ9780691146805

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Francis X. Diebold
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Descrizione libro Princeton University Press, 2013. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria WP-9780691146805

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Francis X. Diebold, Glenn D. Rudebusch
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Descrizione libro Princeton University Press 2012-12-26, New Jersey, 2012. hardback. Condizione libro: New. Codice libro della libreria 9780691146805

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Francis X. Diebold, Glenn D. Rudebusch
Editore: Princeton University Press, United States (2013)
ISBN 10: 0691146802 ISBN 13: 9780691146805
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Descrizione libro Princeton University Press, United States, 2013. Hardback. Condizione libro: New. 216 x 140 mm. Language: English . Brand New Book. 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. Codice libro della libreria AAZ9780691146805

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Francis X. Diebold, Glenn D. Rudebusch
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ISBN 10: 0691146802 ISBN 13: 9780691146805
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Descrizione libro Princeton University Press. Hardback. Condizione libro: new. BRAND NEW, Yield Curve Modeling and Forecasting?: The Dynamic Nelson-Siegel Approach, Francis X. Diebold, Glenn D. Rudebusch, 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. Codice libro della libreria B9780691146805

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Diebold, Francis X.; Rudebusch, Glenn D.
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Diebold, Francis X., Rudebusch, Glenn D.
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ISBN 10: 0691146802 ISBN 13: 9780691146805
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Descrizione libro Princeton University Press, 2013. Condizione libro: New. 2013. Hardcover. Offers an understanding of 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, and valuing capital goods. This title contains essential tools for academics, central banks, and more. Series: The Econometric and Tinbergen Institutes Lectures. Num Pages: 224 pages, 12 line illus. 6 tables. BIC Classification: KCA; KFF. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 221 x 148 x 20. Weight in Grams: 380. . . . . . . Codice libro della libreria V9780691146805

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Diebold, Francis X.; Rudebusch, Glenn D.
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ISBN 10: 0691146802 ISBN 13: 9780691146805
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Descrizione libro Princeton University Press, 2013. Condizione libro: New. Codice libro della libreria EH9780691146805

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