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

Francis X. Diebold, Glenn D. Rudebusch
Biographical note: Francis X. Diebold is the Paul F. and Warren S. Miller Professor of Economics at the University of Pennsylvania and professor of finance and statistics at the university's Wharton School. Glenn D. Rudebusch is executive vice president and director of economic research at the Federal Reserve Bank of San Francisco. They are the coauthors of "Business Cycles: Durations, Dynamics, and Forecasting" (Princeton).
Year of publication:
2013
Authors: Rudebusch, Glenn D. ; Diebold, Francis X.
Publisher: Princeton, N.J. : Princeton University Press
Subject: Zinsstruktur | Yield curve | Öffentliche Anleihe | Public bond | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Theorie | Theory | Zinsertragskurve | Mathematisches Modell
Description of contents: Description [degruyter.com] ; Description [degruyter.com] ; Description [zbmath.org] ; Description [degruyter.com]
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Extent:
Online-Ressource (224 S.)
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
FrontmatterContentsIllustrationsIntroductionPrefaceAdditional Acknowledgment1. Facts, Factors, and Questions2. Dynamic Nelson-Siegel3. Arbitrage-Free Nelson-Siegel4. Extensions5. Macro-Finance6. EpilogueAppendix A: Two-Factor AFNS CalculationsAppendix B: Details of AFNS RestrictionsAppendix C: The AFGNS Yield-Adjustment TermBibliographyIndex.
In English
ISBN: 978-1-4008-4541-5 ; 978-1-4008-4541-5 ; 978-0-691-14680-5
Other identifiers:
10.1515/9781400845415 [DOI]
10.1515/9781400845415?locatt=mode:legacy [DOI]
Source:
ECONIS - Online Catalogue of the ZBW
Persistent link: https://www.econbiz.de/10014482637
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