TY  - BOOK
AU  - Diebold,Francis X.
AU  - Rudebusch,Glenn D.
TI  - Yield curve modeling and forecasting: the dynamic Nelson-Siegel approach 
T2  - The Econometric and Tinbergen Institutes lectures
SN  - 1400845416
AV  - HG4651 .D537 2013eb
U1  - 332.63/2042 23
PY  - 2013///
CY  - Princeton
PB  - Princeton University Press
KW  - Bonds
KW  - Mathematical models
KW  - Obligations (Valeurs)
KW  - Modèles mathématiques
KW  - BUSINESS & ECONOMICS
KW  - Investments & Securities
KW  - General
KW  - bisacsh
KW  - Statistics
KW  - fast
KW  - Electronic books
N1  - Includes bibliographical references and index; Cover; Yield Curve Modeling and Forecasting; THE ECONOMETRIC AND TINBERGEN INSTITUTES LECTURES; Title; Copyright; Dedication; Contents; List of Illustrations; Illustrations; Figures; Tables; Introduction; Preface; Additional Acknowledgment; 1 Facts, Factors, and Questions; 1.1 Three Interest Rate Curves; 1.2 Zero-Coupon Yields; 1.3 Yield Curve Facts; 1.1 Bond Yields in Three Dimensions; 1.4 Yield Curve Factors; 1.1 Bond Yield Statistics; 1.2 Yield Spread Statistics; 1.2 Bond Yields in Two Dimensions; 1.3 Bond Yield Principal Components; 1.3 Yield Principal Components Statistics; 1.4 Empirical Level, Slope, and Curvature and First Three Principal Components of Bond Yields1.5 Yield Curve Questions; 1.6 Onward; 2 Dynamic Nelson-Siegel; 2.1 Curve Fitting; 2.2 Introducing Dynamics; 2.1 DNS Factor Loadings; 2.3 State-Space Representation; 2.4 Estimation; 2.5 Multicountry Modeling; 2.6 Risk Management; 2.7 DNS Fit and Forecasting; 2.2 Out-of-Sample Forecasting Performance: DNS vs. Random Walk; 3 Arbitrage-Free Nelson-Siegel; 3.1 A Two-Factor Warm-Up; 3.2 The Duffie-Kan Framework; 3.3 Making DNS Arbitrage-Free; 3.4 Workhorse Models; 3.5 AFNS Restrictions on A0(3); 3.6 Estimation3.1 AFNS Parameter Restrictions on the Canonical A0(3) Model; 3.7 AFNS Fit and Forecasting; 3.2 Out-of-Sample Forecasting Performance: Four DNS and AFNS Models; 3.3 Out-of-Sample Forecasting Performance: Random Walk, A0(3), and AFNSindep; 4 Extensions; 4.1 Variations on the Basic Theme; 4.2 Additional Yield Factors; 4.1 DNSS Factor Loadings; 4.2 DGNS Factor Loadings; 4.3 Stochastic Volatility; 4.4 Macroeconomic Fundamentals; 5 Macro-Finance; 5.1 Macro-Finance Yield Curve Modeling; 5.2 Macro-Finance and AFNS; 5.1 Nominal and Real Yields and BEI Rates; 5.2 BEI Rates and Expected Inflation5.3 Probabilities of Nonpositive Net Inflation; 5.4 LIBOR Spreads; 5.3 Evolving Research Directions; 6 Epilogue; 6.1 Is Imposition of No-Arbitrage Helpful?; 6.2 Is AFNS the Only Tractable A0(3) Model?; 6.3 Is AFNS Special?; Appendixes; Appendix A Two-Factor AFNS Calculations; A.1 Risk-Neutral Probability; A.2 Euler Equation; Appendix B Details of AFNS Restrictions; B.1 Independent-Factor AFNS; B.2 Correlated-Factor AFNS; Appendix C The AFGNS Yield-Adjustment Term; Bibliography; Index
N2  - 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
UR  - https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=484849
ER  -