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Yield curve modeling and forecasting...

Diebold, Francis X., (1959-)

Yield curve modeling and forecastingthe dynamic Nelson-Siegel approach /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Yield curve modeling and forecastingFrancis X. Diebold, Glenn D. Rudebusch.
其他題名:	the dynamic Nelson-Siegel approach /
作者:	Diebold, Francis X.,
其他作者:	Rudebusch, Glenn D.,
出版者:	Princeton :Princeton University Press,c2013
面頁冊數:	1 online resource (xviii, 203 p.) :ill.
標題:	BondsMathematical models.
電子資源:	http://www.jstor.org/stable/10.2307/j.ctt1r2dc4
ISBN:	1400845416 (electronic bk.)

Yield curve modeling and forecastingthe dynamic Nelson-Siegel approach /
Diebold, Francis X.,1959-

Yield curve modeling and forecastingthe dynamic Nelson-Siegel approach /[electronic resource] :Francis X. Diebold, Glenn D. Rudebusch. - Princeton :Princeton University Press,c2013 - 1 online resource (xviii, 203 p.) :ill. - The Econometric and Tinbergen Institutes lectures. - Econometric and Tinbergen Institutes lectures..

Includes bibliographical references and index.

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.

ISBN: 1400845416 (electronic bk.)Subjects--Topical Terms:

231065
Bonds
--Mathematical models.

LC Class. No.: HG4651 / .D537 2013

Dewey Class. No.: 332.63/2042

Yield curve modeling and forecastingthe dynamic Nelson-Siegel approach /
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100 1 $a Diebold, Francis X., $d 1959- $3 697424
245 1 0 $a Yield curve modeling and forecasting $h [electronic resource] : $b the dynamic Nelson-Siegel approach / $c Francis X. Diebold, Glenn D. Rudebusch.
260 $a Princeton : $b Princeton University Press, $c c2013
300 $a 1 online resource (xviii, 203 p.) : $b ill.
490 1 $a The Econometric and Tinbergen Institutes lectures
504 $a Includes bibliographical references and index.
520 $a 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.
588 $a Description based on print version record.
650 0 $a Bonds $x Mathematical models. $3 231065
700 1 $a Rudebusch, Glenn D., $d 1959- $3 697425
830 0 $a Econometric and Tinbergen Institutes lectures. $3 697381
856 4 0 $u http://www.jstor.org/stable/10.2307/j.ctt1r2dc4