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Money market. Capital market --- Finance charges --- Interest. --- Interest --- 336.781 --- Interest and usury --- Income --- 336.781 Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis --- Economics, Mathematical.

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Income --- Distribution (Economic theory) --- 330.14 --- 336.781 --- Kapitaal. Kapitaalbegrip. Kapitaaltheorie. Kapitaalwinst. Meerwaarde. Kapitaalallocatie. Kapitaalaccumulatie. Kapitaalconcentratie. Kapitaalvorming --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Distribution (Economic theory). --- 336.781 Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- 330.14 Kapitaal. Kapitaalbegrip. Kapitaaltheorie. Kapitaalwinst. Meerwaarde. Kapitaalallocatie. Kapitaalaccumulatie. Kapitaalconcentratie. Kapitaalvorming --- Wealth --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis

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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.

Money market. Capital market --- Bonds --- Mathematical models --- AA / International- internationaal --- 305.7 --- 333.831.0 --- 333.832.0 --- -332.632042 --- Bond issues --- Debentures --- Negotiable instruments --- Securities --- Debts, Public --- Stocks --- Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente. --- Evolutie van de rentetarieven naar de duur van de bedragen. Verband tussen de diverse rentetarieven: algemeenheden. --- Evolutie van de rente naar het voorwerp van de kapitalen: algemeenheden. --- 332.632042 --- Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente --- Evolutie van de rentetarieven naar de duur van de bedragen. Verband tussen de diverse rentetarieven: algemeenheden --- Evolutie van de rente naar het voorwerp van de kapitalen: algemeenheden --- Bonds - Mathematical models --- Mathematical models. --- AFNS. --- Bayesian analysis. --- DNS. --- NelsonГiegel curve fitting. --- RudebuschЗu model. --- affine arbitrage-free models. --- arbitrage-free NelsonГiegel models. --- arbitrage-free dynamic NelsonГiegel. --- arbitrage-free models. --- credit spreads. --- dynamic NelsonГiegel model. --- dynamic NelsonГiegel modeling. --- dynamic yield curve forecasting. --- dynamic yield curve modeling. --- factor loadings. --- forecasting. --- macro-finance yield curve modeling. --- multicountry modeling. --- risk management. --- stateгpace structure. --- stochastic volatility. --- yield curve fitting. --- yield curve models. --- yield curve.

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There are two types of tenn structure models in the literature: the equilibrium models and the no-arbitrage models. And there are, correspondingly, two types of interest rate derivatives pricing fonnulas based on each type of model of the tenn structure. The no-arbitrage models are characterized by the work of Ho and Lee (1986), Heath, Jarrow, and Morton (1992), Hull and White (1990 and 1993), and Black, Dennan and Toy (1990). Ho and Lee (1986) invent the no-arbitrage approach to the tenn structure modeling in the sense that the model tenn structure can fit the initial (observed) tenn structure of interest rates. There are a number of disadvantages with their model. First, the model describes the whole volatility structure by a sin­ gle parameter, implying a number of unrealistic features. Furthennore, the model does not incorporate mean reversion. Black-Dennan-Toy (1990) develop a model along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuous models of the term struc­ ture consistent with the initial tenn structure data.

338.5 --- 65.012.4 --- 336.781 --- Derivative securities --- -AA / International- internationaal --- 305.91 --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Prijsvorming. Prijskostenverhouding. Prijsbeweging. Prijsfluctuatie--macroeconomisch; prijsindex zie {336.748.12} --- Management. Directorate. Technique and methods of management --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Prices --- -Mathematical models --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Finance --- Business & Economics --- Investment & Speculation --- Mathematical models --- Mathematical models. --- 336.781 Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- 65.012.4 Management. Directorate. Technique and methods of management --- 338.5 Prijsvorming. Prijskostenverhouding. Prijsbeweging. Prijsfluctuatie--macroeconomisch; prijsindex zie {336.748.12} --- Instruments dérivés (Finances) --- Prix --- Modèles mathématiques --- AA / International- internationaal --- Prices&delete& --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis --- Capital market. --- Derivatives pricing --- Risk management

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ethiek --- filosofie --- geldhandel --- financiën --- Social ethics --- bedrijfseconomie --- Economische ethiek --- Emprunts --- Ethique économique --- Finances --- Geldwezen --- Leningen --- Wealth, Ethics of --- Money --- Debtor and creditor --- Interest --- Richesse, Morale de la --- Argent --- Débiteur et créancier --- Intérêt (Economie) --- Moral and ethical aspects --- Law and legislation --- History --- Aspect moral --- Droit --- Histoire --- #GGSB: Sociale Ethiek --- #GGSB: Economie --- economie, ethiek --- bankwezen --- 174.5 --- 336.781 --- 336.7 --- 336.74 --- 241.67 --- Academic collection --- #gsdb5 --- #ECO:01.08:economie monetair --- #ECO:01.13:economie sociaal duurzaam milieu ethiek --- #A9412A --- interest --- cultuur --- geld --- AA / International- internationaal --- 173 --- 174 --- C5 --- economie --- Economische ethiek. Speculatie --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen --- Geld. Geldwezen. Monetaire sector. --- Business ethics. Corporate ethics. Bedrijfscodes. Management en ethiek. Zakenmoraal --- interet --- culture --- monnaie --- Ethiek van de verschillende beroepen. Plichtenleer. Deontologie. --- Verband tussen de ethiek en de economie. Ethiek en bedrijf. --- Maatschappelijke organisaties en maatschappelijk leven --- 241.67 Business ethics. Corporate ethics. Bedrijfscodes. Management en ethiek. Zakenmoraal --- 336.74 Geld. Geldwezen. Monetaire sector. --- 336.7 Geldwezen. Kredietwezen. Bankwezen. Financien. Monetaire econonomie. Beurswezen --- 336.781 Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- 174.5 Economische ethiek. Speculatie --- Wealth --- Débiteur et créancier --- Intérêt (Economie) --- Moral and ethical aspects. --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis --- Geld. Geldwezen. Monetaire sector --- Ethiek van de verschillende beroepen. Plichtenleer. Deontologie --- Verband tussen de ethiek en de economie. Ethiek en bedrijf --- Sociale Ethiek --- Economie