Yield Curve Modeling and Forecasting

Yield Curve Modeling and Forecasting

The Dynamic Nelson-Siegel Approach

eBook - 2013
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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 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.
Publisher: Princeton : Princeton University Press, Ă2013
ISBN: 9781400845415
1400845416
1299051219
9781299051218
0691146802
9780691146805
Characteristics: 1 online resource (xviii, 203 pages) : illustrations
Additional Contributors: Rudebusch, Glenn D. 1959-- Author

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