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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.