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Facts, Factors, and Questions

Francis X. Diebold and Glenn D. Rudebusch

in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691146805
eISBN:
9781400845415
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691146805.003.0001
Subject:
Economics and Finance, History of Economic Thought

This chapter introduces some important conceptual, descriptive, and theoretical considerations regarding nominal government bond yield curves. Conceptually, just what is it that are we trying to ... More


Extensions

Francis X. Diebold and Glenn D. Rudebusch

in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691146805
eISBN:
9781400845415
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691146805.003.0004
Subject:
Economics and Finance, History of Economic Thought

This chapter highlights aspects of the vibrant ongoing research program associated with the ideas developed in earlier chapters. It begins with a collage-style sketch of work involving Bayesian ... More


Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Francis X. Diebold and Glenn D. Rudebusch

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691146805
eISBN:
9781400845415
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691146805.001.0001
Subject:
Economics and Finance, History of Economic Thought

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, ... More


Macro-Finance

Francis X. Diebold and Glenn D. Rudebusch

in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691146805
eISBN:
9781400845415
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691146805.003.0005
Subject:
Economics and Finance, History of Economic Thought

This chapter discusses a variety of arbitrage-free Nelson–Siegel (AFNS) macro-finance yield curve approaches. The AFNS factor structure provides a very useful framework for examining various ... More


Fixed Income Securities: The Full Measure of Behavioral Phenomena

Hersh Shefrin

in Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing

Published in print:
2002
Published Online:
November 2003
ISBN:
9780195161212
eISBN:
9780199832996
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0195161211.003.0014
Subject:
Economics and Finance, Financial Economics

This chapter discusses some of the successes and failures associated with the management of fixed income securities, first by presenting a case, and then by discussing some general issues associated ... More


Arbitrage-Free Nelson-Siegel

Francis X. Diebold and Glenn D. Rudebusch

in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691146805
eISBN:
9781400845415
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691146805.003.0003
Subject:
Economics and Finance, History of Economic Thought

This chapter discusses a new class of affine arbitrage-free models that overcome the problems with empirical implementation of the canonical affine arbitrage-free model. This new class is based on ... More


Epilogue

Francis X. Diebold and Glenn D. Rudebusch

in Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Published in print:
2013
Published Online:
October 2017
ISBN:
9780691146805
eISBN:
9781400845415
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691146805.003.0006
Subject:
Economics and Finance, History of Economic Thought

This chapter begins with a bit of history, as what has been done in this book blends the old and the new. In particular, it sketches and contrasts the so-called “traditional” and “modern” approaches ... More


Yield Curves, Swap Curves, and Term Structure of Interest Rates

Tom P. Davis and Dmitri Mossessian

in Debt Markets and Investments

Published in print:
2019
Published Online:
June 2020
ISBN:
9780190877439
eISBN:
9780190877460
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190877439.003.0012
Subject:
Economics and Finance, Financial Economics

This chapter discusses multiple definitions of the yield curve and provides a conceptual understanding on the construction of yield curves for several markets. It reviews several definitions of the ... More


Extracting Yield Curves from Bond Prices

Claus Munk

in Fixed Income Modelling

Published in print:
2011
Published Online:
September 2011
ISBN:
9780199575084
eISBN:
9780191728648
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199575084.003.0002
Subject:
Economics and Finance, Financial Economics

The clearest picture of the term structure of interest rates is obtained by looking at the yields of zero-coupon bonds of different maturities. However, in most countries almost all traded bonds are ... More


The Economics of the Term Structure of Interest Rates

Claus Munk

in Financial Asset Pricing Theory

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199585496
eISBN:
9780191751790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199585496.003.0011
Subject:
Economics and Finance, Econometrics

This chapter focuses on the consequences of general asset pricing theory for the pricing of bonds and for the term structure of interest rates implied by bond prices. After a short introduction to ... More


Understanding Liability Driven Investment

Philippe-N. Marcaillou

in Defined Benefit Pension Schemes in the United Kingdom: Asset and Liability Management

Published in print:
2016
Published Online:
May 2016
ISBN:
9780198738794
eISBN:
9780191802003
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198738794.003.0004
Subject:
Economics and Finance, Financial Economics

Building a growth asset portfolio which matches liabilities duration is very complex. LDI is an investment solution that invests some of the pension scheme’s assets to reduce the liability risks ... More


Monetary policy, interest rates and stock markets

Jesper Rangvid

in From Main Street to Wall Street: How the Economy Influences Stock Markets and What Investors Should Know

Published in print:
2021
Published Online:
February 2021
ISBN:
9780198866404
eISBN:
9780191898549
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198866404.003.0011
Subject:
Economics and Finance, Financial Economics

This chapter examines how monetary policy, in itself and through its dependence on the business cycle, affects prices on financial assets. The chapter shows that changes in the monetary policy rate ... More


Development of the Government Securities Market in Kenya

Leonard Thotho, Caroline Wanjiku, and Daniel Amanja

in 50 Years of Central Banking in Kenya

Published in print:
2021
Published Online:
April 2021
ISBN:
9780198851820
eISBN:
9780191886508
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851820.003.0017
Subject:
Economics and Finance, Macro- and Monetary Economics

This chapter evaluates developments in the domestic government securities market in Kenya during the period 1966 to 2016, a 50-year period since the Central Bank of Kenya was established. The chapter ... More


Debt Markets and Investments: An Overview

H. Kent baker, Greg Filbeck, and Andrew C. Spieler

in Debt Markets and Investments

Published in print:
2019
Published Online:
June 2020
ISBN:
9780190877439
eISBN:
9780190877460
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190877439.003.0001
Subject:
Economics and Finance, Financial Economics

This chapter begins by providing a brief background on debt markets and investments including basic bond terminology and market sectors. It also discusses bond risks and products including ... More


Judging the stance of the business cycle

Jesper Rangvid

in From Main Street to Wall Street: How the Economy Influences Stock Markets and What Investors Should Know

Published in print:
2021
Published Online:
February 2021
ISBN:
9780198866404
eISBN:
9780191898549
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198866404.003.0015
Subject:
Economics and Finance, Financial Economics

This chapter describes if and how we can detect business-cycle turning points. What variables should we study if we want to say something about the likelihood that the business cycle will change? The ... More


Fixed-Income Securities

Elise Balboni and Shari Berenbach

in New Frontiers of Philanthropy: A Guide to the New Tools and New Actors that Are Reshaping Global Philanthropy and Social Investing

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199357543
eISBN:
9780199381425
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199357543.003.0013
Subject:
Political Science, American Politics

This chapter introduces bonds and other fixed-income instruments that can provide substantial long-term financing for a variety of purposes. Included is a discussion of both rated and unrated bonds ... More


Asset Pricing II

Harold L. Cole

in Finance and Financial Intermediation: A Modern Treatment of Money, Credit, and Banking

Published in print:
2019
Published Online:
May 2019
ISBN:
9780190941697
eISBN:
9780190949068
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190941697.003.0005
Subject:
Economics and Finance, Macro- and Monetary Economics, Financial Economics

This chapter presents an number of key anomalies from the perspective of the risk-neutral pricing model and presents the risk-averse pricing model. It discusses how this helps to correct some of the ... More


Martingale Models for the Short Rate

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0021
Subject:
Economics and Finance, Econometrics

This chapter is devoted to an overview and analysis of the most common short rate models, such as the Vasiček, Dothan, Hull–White, and CIR models. These models are analyzed and classified from the ... More


Debt Markets and Investments

H. Kent Baker, Greg Filbeck, and Andrew C. Spieler (eds)

Published in print:
2019
Published Online:
June 2020
ISBN:
9780190877439
eISBN:
9780190877460
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190877439.001.0001
Subject:
Economics and Finance, Financial Economics

This book provides an objective look into the dynamic world of debt markets, products, valuation, and analysis. It also provides an in-depth understanding about this subject from experts in the ... More


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