By Francis X. Diebold, Glenn D. Rudebusch

Understanding the dynamic evolution of the yield curve is necessary to many monetary projects, together with pricing monetary resources and their derivatives, handling monetary possibility, allocating portfolios, structuring monetary debt, accomplishing financial coverage, and valuing capital items. regrettably, so much yield curve types are typically theoretically rigorous yet empirically disappointing, or empirically winning yet theoretically missing. during this booklet, Francis Diebold and Glenn Rudebusch suggest extensions of the vintage yield curve version of Nelson and Siegel which are either theoretically rigorous and empirically winning. the 1st extension is the dynamic Nelson-Siegel version (DNS), whereas the second one takes this dynamic model and makes it arbitrage-free (AFNS). Diebold and Rudebusch convey how those types are only a little bit diversified implementations of a unmarried unified method of dynamic yield curve modeling and forecasting. They emphasize either descriptive and efficient-markets features, they pay designated recognition to the hyperlinks among the yield curve and macroeconomic basics, they usually express why DNS and AFNS are inclined to stay of lasting charm while substitute arbitrage-free types are constructed.

Based at the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting comprises crucial instruments with more suitable application for lecturers, crucial banks, governments, and industry.

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