Yield curve modeling and forecasting : the dynamic Nelson-Siegel approach / Francis X. Diebold and Glenn D. Rudebusch.

Format:

Book

Author/Creator:

Diebold, Francis X., 1959-

Contributor:

Rudebusch, Glenn D., 1959-

Series:

Econometric and Tinbergen Institutes lectures.

The Econometric and Tinbergen Institutes lectures

Language:

English

Subjects (All):

Bonds--Mathematical models.

Bonds.

Physical Description:

1 online resource (225 p.)

Edition:

Course Book

Place of Publication:

Princeton : Princeton University Press, c2013.

Language Note:

English

Summary:

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.

Contents:

Front matter

Contents

Illustrations

Introduction

Preface

Additional Acknowledgment

1. Facts, Factors, and Questions

2. Dynamic Nelson-Siegel

3. Arbitrage-Free Nelson-Siegel

4. Extensions

5. Macro-Finance

6. Epilogue

Appendixes

Appendix A: Two-Factor AFNS Calculations

Appendix B: Details of AFNS Restrictions

Appendix C: The AFGNS Yield-Adjustment Term

Bibliography

Index

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9781299051218

1299051219

9781400845415

1400845416

OCLC:

824488901