A01=Francis X. Diebold
A01=Glenn D. Rudebusch
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Age Group_Uncategorized
Approximation
Arbitrage
Author_Francis X. Diebold
Author_Glenn D. Rudebusch
automatic-update
Basis Point
Bond Yield
Boundary value problem
Calculation
Category1=Non-Fiction
Category=KCA
Category=KFF
Central bank
Coefficient
Conditional variance
Convenience
COP=United States
Deflation
Delivery_Delivery within 10-20 working days
Diebold
Differential equation
Diffusion process
Econometric Institute
Econometrics
Economics
eq_bestseller
eq_business-finance-law
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Estimator
Euler equations (fluid dynamics)
Factor analysis
Feynman-Kac formula
Finance
Financial asset
Financial crisis
Financial risk
Forecasting
Forward rate
Free parameter
Herman K. van Dijk
Inflation
Interest rate
Investor
Ito's lemma
Jensen's inequality
Kalman filter
Language_English
Lecture
Libor
Likelihood function
Macroeconomics
Market liquidity
Markov process
Measurement
Monetary policy
Nominal yield
Normal distribution
Ordinary differential equation
PA=Available
Parameter
Partial differential equation
Philip Hans Franses
Policy analysis
Prediction
Price_€50 to €100
Pricing
Probability measure
PS=Active
Recession
Risk aversion
Risk management
Risk premium
Sharpe ratio
Short rate
softlaunch
Special case
State variable
Stochastic discount factor
Stochastic volatility
Supply (economics)
Treasury Yield
Triangular matrix
Vector autoregression
Yield curve
Zero lower bound
Zero-coupon bond
Product details
- ISBN 9780691146805
- Weight: 295g
- Dimensions: 140 x 216mm
- Publication Date: 15 Jan 2013
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Hardback
- Language: English
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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 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.
Francis X. Diebold is the Paul F. and Warren S. Miller Professor of Economics at the University of Pennsylvania and professor of finance and statistics at the university's Wharton School. Glenn D. Rudebusch is executive vice president and director of economic research at the Federal Reserve Bank of San Francisco. They are the coauthors of Business Cycles: Durations, Dynamics, and Forecasting (Princeton).
