{"product_id":"yield-curve-modeling-and-forecasting-9780691146805","title":"Yield Curve Modeling and Forecasting","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eOffers an understanding of 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, and valuing capital goods. This title contains essential tools for academics, central banks, and more.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTrade Review\u003c\/b\u003e\u003cbr\u003e\"Diebold and Rudebusch have succeeded in writing a milestone book that will be used variously as a standard reference, a guide for future research topics, a text book, or as a convenient introduction to the topics of yield curve modeling and macro-finance. Hence, while forecasting (especially about the future) is always fraught with peril, I'm confident that copies of the book will find their way into many collections, and that they will be actively used when they get there.\"--Leo Krippner, International Review of Economics and Finance \"[T]he methods presented in the book are of great importance in financial market practice. The book is designed for academics, students, and practitioners working in yield curve modeling and forecasting, and it will be useful for all interested in bond markets and their links with the macroeconomic environment.\"--Malgorzata Doman, Zentralblatt MATH\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003eList of Illustrations ix  Introduction xi  Preface xiii  Additional Acknowledgment xvii  1 Facts, Factors, and Questions 1 *1.1 Three Interest Rate Curves 2 *1.2 Zero-Coupon Yields 3 *1.3 Yield Curve Facts 4 *1.4 Yield Curve Factors 7 *1.5 Yield Curve Questions 13 *1.6 Onward 22  2 Dynamic Nelson-Siegel 23 *2.1 Curve Fitting 23 *2.2 Introducing Dynamics 26 *2.3 State-Space Representation 30 *2.4 Estimation 34 *2.5 Multicountry Modeling 42 *2.6 Risk Management 46 *2.7 DNS Fit and Forecasting 49  3 Arbitrage-Free Nelson-Siegel 55 *3.1 A Two-Factor Warm-Up 58 *3.2 The Duffie-Kan Framework 62 *3.3 Making DNS Arbitrage-Free 64 *3.4 Workhorse Models 78 *3.5 AFNS Restrictions on A0(3) 83 *3.6 Estimation 86 *3.7 AFNS Fit and Forecasting 90  4 Extensions 96 *4.1 Variations on the Basic Theme 96 *4.2 Additional Yield Factors 105 *4.3 Stochastic Volatility 113 *4.4 Macroeconomic Fundamentals 117  5 Macro-Finance 126 *5.1 Macro-Finance Yield Curve Modeling 126 *5.2 Macro-Finance and AFNS 131 *5.3 Evolving Research Directions 144  6 Epilogue 149 *6.1 Is Imposition of No-Arbitrage Helpful? 151 *6.2 Is AFNS the Only Tractable A0(3) Model? 153 *6.3 Is AFNS Special? 155  Appendixes 159  Appendix A Two-Factor AFNS Calculations 161 * A.1 Risk-Neutral Probability 161 * A.2 Euler Equation 163  Appendix B Details of AFNS Restrictions 166 * B.1 Independent-Factor AFNS 168 * B.2 Correlated-Factor AFNS 171  Appendix C The AFGNS Yield-Adjustment Term 174  Bibliography 179  Index 197","brand":"Princeton University Press","offers":[{"title":"Default Title","offer_id":49371743682903,"sku":"9780691146805","price":999.99,"currency_code":"GBP","in_stock":false}],"url":"https:\/\/bookcurl.com\/products\/yield-curve-modeling-and-forecasting-9780691146805","provider":"Book Curl","version":"1.0","type":"link"}