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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 |
|---|---|
| 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 |
Tabla de Contenidos:
- 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.
- 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).
- 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.
- 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.