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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 yi...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
©2013.
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| Colección: | Econometric and Tinbergen Institutes lectures.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. |
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| Descripción Física: | 1 online resource (xviii, 203 pages) : illustrations |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 1400845416 9781400845415 |