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Modeling Bond Yields in Finance and Macroeconomics
Diebold, Francis X. - 2005
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...
Persistent link: https://www.econbiz.de/10012467596
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Forecasting the Term Structure of Government Bond Yields
Diebold, Francis X. - 2003
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...
Persistent link: https://www.econbiz.de/10012468646
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Yield Curve Modeling and Forecasting : The Dynamic Nelson-Siegel Approach
Diebold, Francis X. - 2013 - Online-Ausg.
Persistent link: https://www.econbiz.de/10012649791
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Forecasting the Term Structure of Government Bond Yields
Diebold, Francis X. - 2003
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...
Persistent link: https://www.econbiz.de/10012786351
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Yield curve modeling and forecasting : the dynamic Nelson-Siegel approach
Diebold, Francis X.; Rudebusch, Glenn D. - 2013
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,...
Persistent link: https://www.econbiz.de/10012690148
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Yield curve modeling and forecasting : the dynamic Nelson-Siegel approach
Diebold, Francis X.; Rudebusch, Glenn D. - 2013
Figures ^ - -- 1.1 Bond Yields in Three Dimensions 6 1.2 Bond … Yields in Two Dimensions 9 1.3 Bond Yield Principal Components 10 1.4 Empirical … Level, Slope, and Curvature and First Three Principal Components of Bond Yields 12 2.1 DNS Factor Loadings …
Persistent link: https://www.econbiz.de/10013503313
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Yield Curve Modeling and Forecasting : The Dynamic Nelson-Siegel Approach
Rudebusch, Glenn D.; Diebold, Francis X. - 2013
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...
Persistent link: https://www.econbiz.de/10014482637
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Forecasting the term structure of government bond yields
Diebold, Francis X.; Li, Canlin - 2003
Persistent link: https://www.econbiz.de/10001816437
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Forecasting the term structure of government bond yields
Diebold, Francis X. (contributor); Li, Canlin (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001727236
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The affine arbitrage-free class of Nelson-Siegel term structure models
Christensen, Jens H. E.; Diebold, Francis X.; … - In: Journal of econometrics 164 (2011) 1, pp. 4-20
Persistent link: https://www.econbiz.de/10009270418