Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

by Francis X. Diebold and 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...

• Format: Hardcover
• Language: English
• ISBN: 0691146802
• ISBN13: 9780691146805
• Release Date: January 2013
• Publisher: Princeton University Press
• Length: 224 Pages
• Weight: 0.86 lbs.
• Dimensions: 0.9" x 5.7" x 8.6"