Yield curve modeling and forecasting

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.

שנה

2013

שפה

English

סדרה

The Econometric and Tinbergen Institutes lectures

הוצאה

Princeton University Press

מהדורות

1

עמודים

203

ISBN

9780691146805

מקור הנתונים: Wikidata