Erschienen: 15.01.2013 Abbildung von Diebold / Rudebusch | Yield Curve Modeling and Forecasting | 2013

Diebold / Rudebusch

Yield Curve Modeling and Forecasting

The Dynamic Nelson-Siegel Approach

lieferbar ca. 10 Tage als Sonderdruck ohne Rückgaberecht

ca. 31,54 €

inkl. Mwst.

auch verfügbar als eBook (PDF) für 52.99 €

2013. Buch. 224 S. Hardcover

Princeton University Press. ISBN 978-0-691-14680-5

Format (B x L): 12,7 x 20,3 cm

In englischer Sprache

Produktbeschreibung

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.

Gesamtwerk

Die 8. Auflage ist wieder auf sechs Bände angelegt. Darin finden sich übersichtlich und in systematischer Gliederung Vertragsmuster aus der Feder erfahrener Experten. Jedem dieser Muster folgen Anmerkungen, mit denen der dem Vertragsentwurf zu Grunde liegende Sachverhalt und die Gründe für die Wahl des spezifischen Formulars erläutert werden.

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