Listing 1 - 4 of 4 |
Sort by
|
Choose an application
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.
Bonds --- Bond issues --- Debentures --- Negotiable instruments --- Securities --- Debts, Public --- Stocks --- Mathematical models. --- Mathematical models --- E-books --- Finanzas. --- Bonos --- Especulación --- Modelos matemáticos. --- Bonds - 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.
Choose an application
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
Choose an application
Interest rates --- Bonds --- Securities --- Derivative securities --- Taux d'intérêt --- Obligations (Valeurs) --- Valeurs mobilières --- Instruments dérivés (Finances) --- Mathematical models. --- Prices --- Modèles mathématiques --- Prix --- Mathematical models --- AA / International- internationaal --- 305.7 --- 333.830 --- -Bonds --- -Securities --- -Derivative securities --- -332.80151 --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Structured notes (Securities) --- Blue sky laws --- Capitalization (Finance) --- Investment securities --- Portfolio --- Scrip --- Securities law --- Underwriting --- Investments --- Investment banking --- Bond issues --- Debentures --- Negotiable instruments --- Debts, Public --- Stocks --- Money market rates --- Rate of interest --- Rates, Interest --- Interest --- Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente. --- Theorieën en algemeenheden over geldrente. --- -Mathematical models --- Law and legislation --- Taux d'intérêt --- Valeurs mobilières --- Instruments dérivés (Finances) --- Modèles mathématiques --- 332.80151 --- Prices&delete& --- Econometrie van het gedrag van de financiële tussenpersonen. Monetaire econometrische modellen. Monetaire agregaten. vraag voor geld. Krediet. Rente --- Theorieën en algemeenheden over geldrente --- Interest rates - Mathematical models --- Bonds - Mathematical models --- Securities - Mathematical models --- Derivative securities - Prices - Mathematical models --- Acqui 2006
Choose an application
Investments --- Capital assets pricing model. --- Stocks --- Bonds --- Foreign exchange --- Mathematical models. --- 336.767 --- 336.76 --- 339.7 --- AA / International- internationaal --- 305.91 --- Investering. Belegging. Portfolio. Portfoliotheorie. --(toepassing voor kapitaalkosten in de onderneming zie {658.15}) --- Geldmarkt. Kapitaalmarkt --- Internationale financiën --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- 336.767 Investering. Belegging. Portfolio. Portfoliotheorie. --(toepassing voor kapitaalkosten in de onderneming zie {658.15}) --- -Capital assets pricing model --- -Bonds --- -Foreign exchange --- -332.6 --- Cambistry --- Currency exchange --- Exchange, Foreign --- Foreign currency --- Foreign exchange problem --- Foreign money --- Forex --- FX (Finance) --- International exchange --- International finance --- Currency crises --- Bond issues --- Debentures --- Negotiable instruments --- Securities --- Debts, Public --- Common shares --- Common stocks --- Equities --- Equity capital --- Equity financing --- Shares of stock --- Stock issues --- Stock offerings --- Stock trading --- Trading, Stock --- Corporations --- Going public (Securities) --- Stock repurchasing --- Stockholders --- Capital asset pricing model --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Capital --- Finance --- Investing --- Investment management --- Portfolio --- Disinvestment --- Loans --- Saving and investment --- Speculation --- Mathematical models --- Capital assets pricing model --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Investments - Mathematical models. --- Stocks - Mathematical models. --- Bonds - Mathematical models. --- Foreign exchange - Mathematical models.
Listing 1 - 4 of 4 |
Sort by
|