The Resource Yield Curve Modeling and Forecasting, Diebold, Francis

Yield Curve Modeling and Forecasting, Diebold, Francis

Label
Yield Curve Modeling and Forecasting
Title
Yield Curve Modeling and Forecasting
Statement of responsibility
Diebold, Francis
Creator
Author
Subject
Genre
Language
eng
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
Member of
Cataloging source
Midwest
http://bibfra.me/vocab/lite/collectionName
hoopla (Digital media service)
http://library.link/vocab/creatorName
Diebold, Francis
Index
no index present
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/subjectName
  • Industrial management
  • Business enterprises
  • Economics
  • Commerce
Target audience
adult
Label
Yield Curve Modeling and Forecasting, Diebold, Francis
Link
Instantiates
Publication
Distribution
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
MWT13282007
Dimensions
unknown
Extent
1 online resource.
Form of item
  • online
  • electronic
Governing access note
Digital content provided by hoopla
Isbn
9781400845415
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Publisher number
MWT13282007
Specific material designation
remote
Stock number
13282007
System details
Mode of access: World Wide Web
Label
Yield Curve Modeling and Forecasting, Diebold, Francis
Link
Publication
Distribution
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier.
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
MWT13282007
Dimensions
unknown
Extent
1 online resource.
Form of item
  • online
  • electronic
Governing access note
Digital content provided by hoopla
Isbn
9781400845415
Media category
computer
Media MARC source
rdamedia.
Media type code
  • c
Publisher number
MWT13282007
Specific material designation
remote
Stock number
13282007
System details
Mode of access: World Wide Web

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