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Yield curve modeling and forecasting...

Rudebusch, Glenn D., (1959-)

Yield curve modeling and forecasting = the dynamic Nelson-Siegel approach /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Yield curve modeling and forecasting/ Francis X. Diebold, Glenn D. Rudebusch.
Reminder of title:	the dynamic Nelson-Siegel approach /
Author:	Diebold, Francis X.,
other author:	Rudebusch, Glenn D.,
Published:	Princeton :Princeton University Press, : c2013,
Description:	1 online resource (xviii, 203 p.) :ill. :
Subject:	Bonds - Mathematical models. -
Online resource:	http://www.jstor.org/stable/10.2307/j.ctt1r2dc4
ISBN:	1400845416 (electronic bk.)

Yield curve modeling and forecasting = the 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:

839265
Bonds
--Mathematical models.

LC Class. No.: HG4651 / .D537 2013

Dewey Class. No.: 332.63/2042

Yield curve modeling and forecasting = the dynamic Nelson-Siegel approach /
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003 OCoLC
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008 150316s2013 nju ob 001 0 eng d
020 $a 1400845416 (electronic bk.)
020 $a 9781400845415 (electronic bk.)
020 $z 9780691146805 (hardcover : alk. paper)
020 $z 0691146802 (hardcover : alk. paper)
020 $z 9781299051218
020 $z 1299051219
035 $a (OCoLC)824488901 $z (OCoLC)830021139 $z (OCoLC)874926362
035 $a ocn824488901
040 $a YDXCP $c YDXCP $d OCLCO $d GPM $d N $d CDX $d E7B $d IDEBK $d MHW $d DEBSZ $d JSTOR $d OCLCF $d UMI $d COO
050 4 $a HG4651 $b .D537 2013
082 0 4 $a 332.63/2042 $2 23
100 1 $a Diebold, Francis X., $d 1959- $3 833068
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 839265
700 1 $a Rudebusch, Glenn D., $d 1959- $3 997029
830 0 $a Econometric and Tinbergen Institutes lectures. $3 996977
856 4 0 $u http://www.jstor.org/stable/10.2307/j.ctt1r2dc4

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