Yield curve modeling and forecasting : the dynamic Nelson-Siegel approach

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 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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Year of publication:	c 2013
Authors:	Diebold, Francis X. ; Rudebusch, Glenn D.
Publisher:	Princeton, NJ [u.a.] : Princeton Univ. Press
Subject:	Zinsstruktur \| Yield curve \| Öffentliche Anleihe \| Public bond \| Kapitaleinkommen \| Capital income \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Zinsertragskurve \| Mathematisches Modell
Description of contents:	Table of Contents [gbv.de] ; Description [zbmath.org] ; Description [gbv.de]