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Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach by Fran
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Standort: Fairfield, Ohio, USA
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eBay-Artikelnr.:365866921996
Artikelmerkmale
- Artikelzustand
- ISBN-13
- 9780691146805
- Book Title
- Yield Curve Modeling and Forecasting
- ISBN
- 9780691146805
Über dieses Produkt
Product Identifiers
Publisher
Oxford University Press, Incorporated
ISBN-10
0691146802
ISBN-13
9780691146805
eBay Product ID (ePID)
117246387
Product Key Features
Number of Pages
224 Pages
Language
English
Publication Name
Yield Curve Modeling and Forecasting : the Dynamic Nelson-Siegel Approach
Subject
Investments & Securities / Bonds, Forecasting, Statistics, Economics / Theory
Publication Year
2013
Type
Textbook
Subject Area
Business & Economics
Series
The Econometric and Tinbergen Institutes Lectures
Format
Hardcover
Dimensions
Item Height
0.8 in
Item Weight
1 Oz
Item Length
8.6 in
Item Width
7.2 in
Additional Product Features
Intended Audience
College Audience
LCCN
2012-020360
Reviews
"[T]he methods presented in the book are of great importance in financial market practice. The book is designed for academics, students, and practitioners working in yield curve modeling and forecasting, and it will be useful for all interested in bond markets and their links with the macroeconomic environment." ---Malgorzata Doman, Zentralblatt MATH, "This timely and enlightening book covers the latest developments in the cutting-edge field of yield curve modeling in financial economics and macro-finance. Even active researchers in this area undoubtedly will learn something new. The book is clearly written by two distinguished scholars who share their insights and provide many refreshing clear-cut messages about theoretical and empirical issues in yield curve modeling and forecasting." --Lasse Bork, Aalborg University, Denmark, Diebold and Rudebusch have succeeded in writing a milestone book that will be used variously as a standard reference, a guide for future research topics, a text book, or as a convenient introduction to the topics of yield curve modeling and macro-finance. Hence, while forecasting (especially about the future) is always fraught with peril, I'm confident that copies of the book will find their way into many collections, and that they will be actively used when they get there. ---Leo Krippner, International Review of Economics and Finance, "Diebold and Rudebusch have succeeded in writing a milestone book that will be used variously as a standard reference, a guide for future research topics, a text book, or as a convenient introduction to the topics of yield curve modeling and macro-finance. Hence, while forecasting (especially about the future) is always fraught with peril, I'm confident that copies of the book will find their way into many collections, and that they will be actively used when they get there."-- Leo Krippner, International Review of Economics and Finance, "Diebold and Rudebusch have succeeded in writing a milestone book that will be used variously as a standard reference, a guide for future research topics, a text book, or as a convenient introduction to the topics of yield curve modeling and macro-finance. Hence, while forecasting (especially about the future) is always fraught with peril, I'm confident that copies of the book will find their way into many collections, and that they will be actively used when they get there." ---Leo Krippner, International Review of Economics and Finance, "[T]he methods presented in the book are of great importance in financial market practice. The book is designed for academics, students, and practitioners working in yield curve modeling and forecasting, and it will be useful for all interested in bond markets and their links with the macroeconomic environment."-- Malgorzata Doman, Zentralblatt MATH, "This lucid and concise book is unique in the field of term structure modeling. It leads readers from yield curve basics, with a popular and intuitive term structure model, to the frontiers of academia in associated fields. By the end of the book, readers will be inspired and enlightened enough to push those frontiers in the many open research directions noted by the authors, particularly in the emerging field of macro-finance." --Leo Krippner, Reserve Bank of New Zealand, "Diebold and Rudebusch have succeeded in writing a milestone book that will be used variously as a standard reference, a guide for future research topics, a text book, or as a convenient introduction to the topics of yield curve modeling and macro-finance. Hence, while forecasting (especially about the future) is always fraught with peril, I'm confident that copies of the book will find their way into many collections, and that they will be actively used when they get there." --Leo Krippner, International Review of Economics and Finance, [T]he methods presented in the book are of great importance in financial market practice. The book is designed for academics, students, and practitioners working in yield curve modeling and forecasting, and it will be useful for all interested in bond markets and their links with the macroeconomic environment. ---Malgorzata Doman, Zentralblatt MATH, "[T]he methods presented in the book are of great importance in financial market practice. The book is designed for academics, students, and practitioners working in yield curve modeling and forecasting, and it will be useful for all interested in bond markets and their links with the macroeconomic environment." --Malgorzata Doman, Zentralblatt MATH
Dewey Edition
23
Illustrated
Yes
Dewey Decimal
332.63/2042
Synopsis
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 rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting.They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry., 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 rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry., Offers an understanding of 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, and valuing capital goods. This title contains essential tools for academics, central banks, and more.
LC Classification Number
HG4651.D537 2013
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grandeagleretail
98,8% positive Bewertungen•2,8 Mio. Artikel verkauft
Angemeldet als gewerblicher Verkäufer
Verkäuferbewertungen (1.072.185)
- m***4 (1619)- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufLeaving positive feedback because 1) item was packed well & arrived as described 2) seller did give partial refund when subsequent price dropped below org purchase price. 3) communication was quick However, there was a downside to this transaction -item listed as in-stock but ended up waiting nearly a month for them to get it from their distributer then ship it to me (bought June 29th, arrived around July 21). Auction said 12-15 days. Better clarity would have prevented lot of frustrationStreet Fighter II - Guile (Player 2) Figure - 6 Inch (Nr. 365698737394)
- c***a (121)- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufThe seller was very responsive and answered me on a timely matter. The product itself came in its packaging and was new, not used at all. The packaging was not beat up or anything, safely delivered to my mailbox. No mix ups and zero stress with delivery. The price for the product is completely understandable for the product. I really appreciate the seller and I am very happy to have purchased through this seller. Completely trustable!Mosby's Pharmacy Technician: Principles and Practice by Elsevier Inc (English) P (Nr. 396170382415)
- n***i (5)- Bewertung vom Käufer.Letzter MonatBestätigter KaufMy statue was exactly as described, it was un-opened and in perfect condition! Totally wirth the price. Getting it shipped took a little long but the seller was very responsive when I messaged and sent me the tracking as soon as it was available. Plus they did a good job packaging it well enough that despite being banged up on the outside my item was completely undamaged.