FREE SHIPPING

on all orders of $59 or more

$8 OFF your purchase of $100 or more!
Use coupon code WEDNESDAY in checkout.

Yield Curve Modeling and Forecasting

, by ;
Yield Curve Modeling and Forecasting by Diebold, Francis X.; Rudebusch, Glenn D., 9780691146805
Note: Supplemental materials are not guaranteed with Rental or Used book purchases.
  • ISBN: 9780691146805 | 0691146802
  • Cover: Hardcover
  • Copyright: 1/15/2013
  • Rent Textbook

    (Recommended)

    $46.31
     
    Term
    Due
    Price
  • Buy New Textbook

    Usually Ships in 3-5 Business Days

    $47.48
  • eTextbook

    Available Instantly

    Online: 365 Days

    Downloadable: Lifetime Access

    $59.94
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 Forecastingcontains essential tools with enhanced utility for academics, central banks, governments, and industry.

You might also enjoy...



Please wait while the item is added to your bag...