An edition of Yield curve modeling and forecasting
(2013)
Yield curve modeling and forecasting
the dynamic Nelson-Siegel approach
by Francis X. Diebold
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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.
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Yield curve modeling and forecasting: the dynamic Nelson-Siegel approach
2013, Princeton University Press
in English
0691146802 9780691146805
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Includes bibliographical references and index.
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- Created June 14, 2012
- 6 revisions
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| September 23, 2024 | Edited by MARC Bot | import existing book |
| December 21, 2022 | Edited by MARC Bot | import existing book |
| September 17, 2021 | Edited by ImportBot | import existing book |
| October 18, 2020 | Edited by MARC Bot | import existing book |
| June 14, 2012 | Created by LC Bot | Imported from Library of Congress MARC record |