Lyt når som helst, hvor som helst

Nyd den ubegrænsede adgang til tusindvis af spændende e- og lydbøger - helt gratis

  • Lyt og læs så meget du har lyst til
  • Opdag et kæmpe bibliotek fyldt med fortællinger
  • Eksklusive titler + Mofibo Originals
  • Opsig når som helst
Start tilbuddet
DK - Details page - Device banner - 894x1036

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

Serier

1 of 4

Sprog
Engelsk
Format
Kategori

Økonomi & Business

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.

© 2013 Princeton University Press (E-bog): 9781400845415

Release date

E-bog: 15. januar 2013

Andre kan også lide...

  1. The Econometrics of Financial Markets Andrew W. Lo
  2. A Little History of Economics Niall Kishtainy
  3. Debt – Updated and Expanded: The First 5,000 Years David Graeber
  4. Poor Economics: A Radical Rethinking of the Way to Fight Global Poverty Esther Duflo
  5. Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework and Its Applications – Second Edition: An Introduction to the New Keynesian Framework and Its Applications - Second Edition Jordi Galí
  6. Introduction to Applied Econometrics Analysis Using Stata Justin Doran
  7. This Time is Different: Eight Centuries of Financial Folly Carmen Reinhart
  8. The Little Book of Behavioral Investing: How not to be your own worst enemy (Little Book, Big Profits) James Montier
  9. Financial Modeling and Valuation: A Practical Guide to Investment Banking and Private Equity Paul Pignataro
  10. Narrative Economics: How Stories Go Viral and Drive Major Economic Events Robert J. Shiller
  11. The Bed of Procrustes: Philosophical and Practical Aphorisms Nassim Nicholas Taleb
  12. Capital and Ideology Thomas Piketty
  13. The Complete Guide to Investing in Commodity Trading & Futures: How to Earn High Rates of Returns Safely Mary B. Holihan
  14. Phishing for Phools: The Economics of Manipulation and Deception George A. Akerlof
  15. A Random Walk Down Wall Street: Including a Life-Cycle Guide to Personal Investing Burton G. Malkiel
  16. 21st Century Monetary Policy: The Federal Reserve from the Great Inflation to COVID-19 Ben S. Bernanke
  17. 7 Secrets to Investing Like Warren Buffett Mary Buffett
  18. Never Split the Difference: Negotiating As If Your Life Depended On It Chris Voss
  19. A Brief History of Equality Thomas Piketty
  20. Value(s): An Economist’s Guide to Everything That Matters Mark Carney
  21. Global Inequality: A New Approach for the Age of Globalization Branko Milanovic
  22. Hayek: His Contribution to the Political and Economic Thought of Our Time Eamonn Butler
  23. Interest and Prices: Foundations of a Theory of Monetary Policy Michael Woodford
  24. Inequality and Globalization: Improving Measurement through Integrated Financial Accounts Archawa Paweenawat
  25. Rational Expectations and Inflation: Third Edition Thomas J. Sargent
  26. How an Economy Grows and Why It Crashes: Collector's Edition Peter D. Schiff
  27. Introduction to Modern Economic Growth Daron Acemoglu
  28. Econometrics Fumio Hayashi
  29. How Global Currencies Work: Past, Present, and Future Barry Eichengreen
  30. The Essential Hayek (Essential Scholars) Donald J. Boudreaux
  31. Principles: Life and Work Ray Dalio
  32. Applied Economics: Thinking Beyond Stage One Thomas Sowell
  33. SuperFreakonomics Stephen J. Dubner
  34. One Up On Wall Street: How To Use What You Already Know To Make Money In The Market Peter Lynch
  35. Lectures on Behavioral Macroeconomics Paul De Grauwe
  36. Why Buddhism is True: The Science and Philosophy of Meditation and Enlightenment Robert Wright
  37. Asset Pricing Theory Costis Skiadas
  38. The Great Escape: Health, Wealth, and the Origins of Inequality Angus Deaton
  39. The Warren Buffett Stock Portfolio: Warren Buffett's Stock Picks: When and Why He Is Investing in Them Mary Buffett
  40. Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined Lasse Heje Pedersen
  41. Mostly Harmless Econometrics: An Empiricist's Companion Jörn-Steffen Pischke
  42. The Little Book of Trading: Trend Following Strategy for Big Winnings Michael Covel
  43. Essays on the Great Depression Ben S. Bernanke
  44. Crash Course Financial Modelling Introbooks Team
  45. Tao of Charlie Munger: A Compilation of Quotes from Berkshire Hathaway's Vice Chairman on Life, Business, and the Pursuit of Wealth With Commentary by David Clark David Clark
  46. Irrational Exuberance: Revised and Expanded Third Edition Robert J. Shiller
  47. Cogs and Monsters: What Economics Is, and What It Should Be Diane Coyle

Vælg dit abonnement

  • Over 600.000 titler

  • Download og nyd titler offline

  • Eksklusive titler + Mofibo Originals

  • Børnevenligt miljø (Kids Mode)

  • Det er nemt at opsige når som helst

Flex

For dig som vil prøve Mofibo.

89 kr. /måned
  • 1 konto

  • 20 timer/måned

  • Gem op til 100 ubrugte timer

  • Eksklusivt indhold hver uge

  • Fri lytning til podcasts

  • Ingen binding

Prøv gratis
Den mest populære

Premium

For dig som lytter og læser ofte.

129 kr. /måned
  • 1 konto

  • 100 timer/måned

  • Eksklusivt indhold hver uge

  • Fri lytning til podcasts

  • Ingen binding

Start tilbuddet

Unlimited

For dig som lytter og læser ubegrænset.

149 kr. /måned
  • 1 konto

  • Ubegrænset adgang

  • Eksklusivt indhold hver uge

  • Fri lytning til podcasts

  • Ingen binding

Start tilbuddet

Family

For dig som ønsker at dele historier med familien.

Fra 179 kr. /måned
  • 2-6 konti

  • 100 timer/måned pr. konto

  • Fri lytning til podcasts

  • Kun 39 kr. pr. ekstra konto

  • Ingen binding

2 konti

179 kr. /måned
Prøv gratis