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Yield Curve Modeling and Forecasting

The Dynamic Nelson-Siegel Approach

This book is available for download with iBooks on your Mac or iOS device, and with iTunes on your computer. Books can be read with iBooks on your Mac or iOS device.

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 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.

Yield Curve Modeling and Forecasting
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  • $31.99
  • Available on iPhone, iPad, iPod touch, and Mac.
  • Category: Finance
  • Published: Jan 15, 2013
  • Publisher: Princeton University Press
  • Seller: Princeton University Press
  • Print Length: 224 Pages
  • Language: English
  • Requirements: To view this book, you must have an iOS device with iBooks 1.3.1 or later and iOS 4.3.3 or later, or a Mac with iBooks 1.0 or later and OS X 10.9 or later.

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