eBook

Yield curve modeling and forecasting

Rudebusch, Glenn D, Diebold, Francis X

2013,2012

Overview

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 Forecastingcontains essential tools with enhanced utility for academics, central banks, governments, and industry.

• Publisher: Princeton University Press,Princeton Univ. Press
• Subject: Approximation / Arbitrage / Basis Point / Bond Yield / Bonds / Bonds -- Mathematical models / Boundary value problem / Business / BUSINESS & ECONOMICS / BUSINESS & ECONOMICS / Economics / Theory / BUSINESS & ECONOMICS / Forecasting / BUSINESS & ECONOMICS / Statistics / BUSINESS & ECONOMICS / Finance / General / Calculation / Central bank / Coefficient / Conditional variance / Convenience / Deflation / Diebold / Differential equation / Diffusion process / Econometric Institute / Econometrics / Economics / Empirical research / Estimator / Euler equations (fluid dynamics) / Factor analysis / Feynman–Kac formula / Finance / Financial asset / Financial crisis / Financial risk / Forecasting / Forecasts / Forward rate / Free parameter / Herman K. van Dijk / Inflation / Interest rate / Investor / Itô's lemma / Jensen's inequality / Kalman filter / Kapitaleinkommen / KCA / KCHS / KCJ / KFF / Lecture / Libor / Likelihood function / Macroeconomics / Market liquidity / Markov process / Mathematical models / Measurement / Methodology / Modelling / Monetary policy / Nominal yield / Normal distribution / Ordinary differential equation / Parameter / Partial differential equation / Philip Hans Franses / Policy analysis / Prediction / Pricing / Probability measure / Prognoseverfahren / Recession / Risk aversion / Risk management / Risk premium / Sharpe ratio / Short rate / Special case / State variable / Statistics / Stochastic discount factor / Stochastic volatility / Supply (economics) / Theorie / Theory / Treasury Yield / Triangular matrix / Vector autoregression / Yield curve / Zero lower bound / Zero-coupon bond / Zinsstruktur / Öffentliche Anleihe
• ISBN: 9780691146805, 0691146802, 1400845416, 9781400845415