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  - 9780691146805
AV  - HG4651 .D537 2017
U1  - 332.632042 23
PY  - 2013///]
CY  - Princeton, NJ : 
PB  - Princeton University Press, 
KW  - Bonds
KW  - Mathematical models
KW  - BUSINESS & ECONOMICS / Economics / Theory
KW  - bisacsh
KW  - AFNS
KW  - Bayesian analysis
KW  - DNS
KW  - NelsonГiegel curve fitting
KW  - RudebuschЗu model
KW  - affine arbitrage-free models
KW  - arbitrage-free NelsonГiegel models
KW  - arbitrage-free dynamic NelsonГiegel
KW  - arbitrage-free models
KW  - credit spreads
KW  - dynamic NelsonГiegel model
KW  - dynamic NelsonГiegel modeling
KW  - dynamic yield curve forecasting
KW  - dynamic yield curve modeling
KW  - factor loadings
KW  - forecasting
KW  - macro-finance yield curve modeling
KW  - multicountry modeling
KW  - risk management
KW  - stateгpace structure
KW  - stochastic volatility
KW  - yield curve fitting
KW  - yield curve models
KW  - yield curve
N1  - Frontmatter --; Contents --; Illustrations --; Introduction --; Preface --; Additional Acknowledgment --; 1. Facts, Factors, and Questions --; 2. Dynamic Nelson-Siegel --; 3. Arbitrage-Free Nelson-Siegel --; 4. Extensions --; 5. Macro-Finance --; 6. Epilogue --; Appendixes --; Appendix A: Two-Factor AFNS Calculations --; Appendix B: Details of AFNS Restrictions --; Appendix C: The AFGNS Yield-Adjustment Term --; Bibliography --; Index; restricted access; Issued also in print
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 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
UR  - https://doi.org/10.1515/9781400845415?locatt=mode:legacy
UR  - https://www.degruyter.com/isbn/9781400845415
UR  - https://www.degruyter.com/cover/covers/9781400845415.jpg
ER  -