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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


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


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


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


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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