Cover image for Yield curve modeling and forecasting : the dynamic Nelson-Siegel approach
Title:
Yield curve modeling and forecasting : the dynamic Nelson-Siegel approach
Author:
Diebold, Francis X., 1959-
ISBN:
9781400845415
Publication Information:
Princeton : Princeton University Press, ©2013.
Physical Description:
1 online resource (xviii, 203 pages) : illustrations.
Series:
The Econometric and Tinbergen Institutes lectures

Econometric and Tinbergen Institutes lectures.
Abstract:
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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