Yield curve modeling and forecasting : the dynamic Nelson-Siegel approach /

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Diebold, Francis X., 1959- (Autor), Rudebusch, Glenn D., 1959- (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton : Princeton University Press, ©2013.
Colección:Econometric and Tinbergen Institutes lectures.
Temas:
Bonds > Mathematical models.
Obligations (Valeurs) > Modèles mathématiques.
BUSINESS & ECONOMICS > Investments & Securities > General.
BUSINESS & ECONOMICS > Statistics.
Bonds > Mathematical models
Acceso en línea:Texto completo

MARC

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100 1 |a Diebold, Francis X.,  |d 1959-  |e author.  |1 https://id.oclc.org/worldcat/entity/E39PBJgX8t8fqhTDQWFfRyYgKd 
245 1 0 |a Yield curve modeling and forecasting :  |b the dynamic Nelson-Siegel approach /  |c Francis X. Diebold, Glenn D. Rudebusch. 
260 |a Princeton :  |b Princeton University Press,  |c ©2013. 
300 |a 1 online resource (xviii, 203 pages) :  |b illustrations 
336 |a text  |b txt  |2 rdacontent 
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490 1 |a The Econometric and Tinbergen Institutes lectures 
504 |a Includes bibliographical references and index. 
588 0 |a Print version record. 
520 |a 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. 
505 0 |a Cover; Yield Curve Modeling and Forecasting; THE ECONOMETRIC AND TINBERGEN INSTITUTES LECTURES; Title; Copyright; Dedication; Contents; List of Illustrations; Illustrations; Figures; Tables; Introduction; Preface; Additional Acknowledgment; 1 Facts, Factors, and Questions; 1.1 Three Interest Rate Curves; 1.2 Zero-Coupon Yields; 1.3 Yield Curve Facts; 1.1 Bond Yields in Three Dimensions; 1.4 Yield Curve Factors; 1.1 Bond Yield Statistics; 1.2 Yield Spread Statistics; 1.2 Bond Yields in Two Dimensions; 1.3 Bond Yield Principal Components; 1.3 Yield Principal Components Statistics. 
505 8 |a 1.4 Empirical Level, Slope, and Curvature and First Three Principal Components of Bond Yields1.5 Yield Curve Questions; 1.6 Onward; 2 Dynamic Nelson-Siegel; 2.1 Curve Fitting; 2.2 Introducing Dynamics; 2.1 DNS Factor Loadings; 2.3 State-Space Representation; 2.4 Estimation; 2.5 Multicountry Modeling; 2.6 Risk Management; 2.7 DNS Fit and Forecasting; 2.2 Out-of-Sample Forecasting Performance: DNS vs. Random Walk; 3 Arbitrage-Free Nelson-Siegel; 3.1 A Two-Factor Warm-Up; 3.2 The Duffie-Kan Framework; 3.3 Making DNS Arbitrage-Free; 3.4 Workhorse Models; 3.5 AFNS Restrictions on A0(3). 
505 8 |a 3.6 Estimation3.1 AFNS Parameter Restrictions on the Canonical A0(3) Model; 3.7 AFNS Fit and Forecasting; 3.2 Out-of-Sample Forecasting Performance: Four DNS and AFNS Models; 3.3 Out-of-Sample Forecasting Performance: Random Walk, A0(3), and AFNSindep; 4 Extensions; 4.1 Variations on the Basic Theme; 4.2 Additional Yield Factors; 4.1 DNSS Factor Loadings; 4.2 DGNS Factor Loadings; 4.3 Stochastic Volatility; 4.4 Macroeconomic Fundamentals; 5 Macro-Finance; 5.1 Macro-Finance Yield Curve Modeling; 5.2 Macro-Finance and AFNS; 5.1 Nominal and Real Yields and BEI Rates. 
505 8 |a 5.2 BEI Rates and Expected Inflation5.3 Probabilities of Nonpositive Net Inflation; 5.4 LIBOR Spreads; 5.3 Evolving Research Directions; 6 Epilogue; 6.1 Is Imposition of No-Arbitrage Helpful?; 6.2 Is AFNS the Only Tractable A0(3) Model?; 6.3 Is AFNS Special?; Appendixes; Appendix A Two-Factor AFNS Calculations; A.1 Risk-Neutral Probability; A.2 Euler Equation; Appendix B Details of AFNS Restrictions; B.1 Independent-Factor AFNS; B.2 Correlated-Factor AFNS; Appendix C The AFGNS Yield-Adjustment Term; Bibliography; Index. 
546 |a In English. 
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650 0 |a Bonds  |x Mathematical models. 
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650 7 |a Bonds  |x Mathematical models  |2 fast 
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773 0 8 |i Druckausg.:  |a Diebold, Francis X.  |t Yield curve modeling and forecasting. 
776 0 8 |i Print version:  |a Diebold, Francis X., 1959-  |t Yield curve modeling and forecasting.  |d Princeton : Princeton University Press, ©2013  |z 9780691146805  |w (DLC) 2012020360  |w (OCoLC)792880998 
830 0 |a Econometric and Tinbergen Institutes lectures. 
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