Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach (The Econometric and Tinbergen Institutes Lectures)

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9780691146805: Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach (The Econometric and Tinbergen Institutes Lectures)

Book by Diebold Francis X Rudebusch Glenn D

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"Diebold and Rudebusch have succeeded in writing a milestone book that will be used variously as a standard reference, a guide for future research topics, a text book, or as a convenient introduction to the topics of yield curve modeling and macro-finance. Hence, while forecasting (especially about the future) is always fraught with peril, I'm confident that copies of the book will find their way into many collections, and that they will be actively used when they get there." --Leo Krippner, International Review of Economics and Finance


"[T]he methods presented in the book are of great importance in financial market practice. The book is designed for academics, students, and practitioners working in yield curve modeling and forecasting, and it will be useful for all interested in bond markets and their links with the macroeconomic environment." --Malgorzata Doman, Zentralblatt MATH

Reseña del editor:


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.


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1.

Francis X. Diebold, Glenn D. Rudebusch
Editorial: Princeton University Press, United States (2013)
ISBN 10: 0691146802 ISBN 13: 9780691146805
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Descripción Princeton University Press, United States, 2013. Hardback. Estado de conservación: New. 216 x 140 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería AAU9780691146805

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Diebold, Francis X., Rudebusch, Glenn D.
Editorial: Princeton University Press (2013)
ISBN 10: 0691146802 ISBN 13: 9780691146805
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Descripción Princeton University Press, 2013. Estado de conservación: New. 2013. Hardcover. Offers an understanding of 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, and valuing capital goods. This title contains essential tools for academics, central banks, and more. Series: The Econometric and Tinbergen Institutes Lectures. Num Pages: 224 pages, 12 line illus. 6 tables. BIC Classification: KCA; KFF. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 221 x 148 x 20. Weight in Grams: 380. . . . . . . Nº de ref. de la librería V9780691146805

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Francis X. Diebold
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ISBN 10: 0691146802 ISBN 13: 9780691146805
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Descripción Princeton University Press, 2013. HRD. Estado de conservación: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Nº de ref. de la librería BB-9780691146805

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Diebold, Francis X., Rudebusch, Glenn D.
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Descripción Princeton University Press. Estado de conservación: New. 2013. Hardcover. Offers an understanding of 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, and valuing capital goods. This title contains essential tools for academics, central banks, and more. Series: The Econometric and Tinbergen Institutes Lectures. Num Pages: 224 pages, 12 line illus. 6 tables. BIC Classification: KCA; KFF. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 221 x 148 x 20. Weight in Grams: 380. . . . . . Books ship from the US and Ireland. Nº de ref. de la librería V9780691146805

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Francis X. Diebold, Glenn D. Rudebusch
Editorial: Princeton University Press, United States (2013)
ISBN 10: 0691146802 ISBN 13: 9780691146805
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Descripción Princeton University Press, United States, 2013. Hardback. Estado de conservación: New. 216 x 140 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería AAU9780691146805

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Francis X. Diebold; Glenn D. Rudebusch
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Descripción Estado de conservación: New. Depending on your location, this item may ship from the US or UK. Nº de ref. de la librería 97806911468050000000

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Francis X. Diebold, Glenn Rudebusch, Glenn D. Rudebusch
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ISBN 10: 0691146802 ISBN 13: 9780691146805
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Descripción Princeton University Press 2013-01-15, Princeton, 2013. hardback. Estado de conservación: New. Nº de ref. de la librería 9780691146805

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Francis X. Diebold, Glenn D. Rudebusch
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Descripción Princeton University Press. Hardback. Estado de conservación: new. BRAND NEW, Yield Curve Modeling and Forecasting?: The Dynamic Nelson-Siegel Approach, Francis X. Diebold, Glenn D. Rudebusch, 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. Nº de ref. de la librería B9780691146805

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Descripción Estado de conservación: New. Bookseller Inventory # ST0691146802. Nº de ref. de la librería ST0691146802

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Francis X. Diebold; Glenn D. Rudebusch
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Descripción Princeton University Press, 2013. Estado de conservación: New. Nº de ref. de la librería EH9780691146805

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