Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach - Hardcover
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Availability:In StockContributor:Francis X. Diebold, Glenn D. RudebuschSeries:Econometric and Tinbergen Institutes LecturesPublish date:2013-01-15Pages:224
Language:EnglishPublisher:Princeton University PressISBN-13:9780691146805ISBN-10:691146802UPC:9780691146805Book Category:Business & EconomicsBook Subcategory:Finance, Statistics, EconomicsBook Topic:TheorySize:8.60 x 5.70 x 0.90 inchesWeight:0.6504Product ID:SC0H5R2JK4
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
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...
Series: Econometric and Tinbergen Institutes Lectures
Language:EnglishPublisher:Princeton University PressISBN-13:9780691146805ISBN-10:691146802UPC:9780691146805Book Category:Business & EconomicsBook Subcategory:Finance, Statistics, EconomicsBook Topic:TheorySize:8.60 x 5.70 x 0.90 inchesWeight:0.6504Product ID:SC0H5R2JK4
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...
Publisher: Princeton University Press
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