Yield Curve Modeling And Forecasting
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Yield Curve Modeling And Forecasting
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Author : Francis X. Diebold
language : en
Publisher: Princeton University Press
Release Date : 2013-01-15
Yield Curve Modeling And Forecasting written by Francis X. Diebold and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-15 with Business & Economics categories.
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.
Yield Curve Dynamics
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Author : Ronald J. Ryan
language : en
Publisher: Global Professional Publishi
Release Date : 1997
Yield Curve Dynamics written by Ronald J. Ryan and has been published by Global Professional Publishi this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.
� Invaluable to financial professionals � Breakthrough that examines both theory and practical solutions Examines both the advanced theory and practice of these techniques. Topics include: single- and multi-factor models; applying yield-curve modeling to risk management; forecasting short-term interest rates; unique yield-curve volatility; and trading strategies.
Yield Curve Modeling
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Author : Y. Stander
language : en
Publisher: Springer
Release Date : 2005-06-23
Yield Curve Modeling written by Y. Stander and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-06-23 with Business & Economics categories.
This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. An extensive list of yield curve models are shown and discussed. Using actual market instruments, these models are then applied and the different yield curves are compared. It is assumed that the reader has a basic understanding of the financial instruments available in the market. Various issues that have to be taken into account in practice are discussed, like daycount conventions, business-day rules, the credit quality of the instrument and liquidity to name but a few. It is also shown how yield curves can be used to estimate credit spreads and country risk premiums. Creating a yield curve model has some implications in risk management. Specifically - the model, operational, liquidity and basis risks are discussed.
Modelling The Yield Curve
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Author : Mr.Mark P. Taylor
language : en
Publisher: International Monetary Fund
Release Date : 1991-12-01
Modelling The Yield Curve written by Mr.Mark P. Taylor and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-12-01 with Business & Economics categories.
We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are unable to explain the term premium. A simple, market segmentation approach is, however, moderately successful in explaining the term premium.
Yield Curve Dynamics
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Author : Ronald J. Ruan
language : en
Publisher:
Release Date : 1997
Yield Curve Dynamics written by Ronald J. Ruan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Interest rates categories.
Modelling And Forecasting Stock Return Volatility And The Term Structure Of Interest Rates
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Author : Michiel de Pooter
language : en
Publisher: Rozenberg Publishers
Release Date : 2007
Modelling And Forecasting Stock Return Volatility And The Term Structure Of Interest Rates written by Michiel de Pooter and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
This dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. The first part of this dissertation offers contributions to the literature on how to test for sudden changes in unconditional volatility, on modelling realized volatility and on the choice of optimal sampling frequencies for intraday returns. The emphasis in the second part of this dissertation is on the term structure of interest rates.
Comparing Models For Forecasting The Yield Curve
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Author : Marco S. Matsumura
language : en
Publisher:
Release Date : 2006
Comparing Models For Forecasting The Yield Curve written by Marco S. Matsumura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Economic forecasting categories.
Building And Using Dynamic Interest Rate Models
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Author : Ken O. Kortanek
language : en
Publisher: John Wiley & Sons
Release Date : 2001-11-28
Building And Using Dynamic Interest Rate Models written by Ken O. Kortanek and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-11-28 with Business & Economics categories.
This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Handbook Of Financial Econometrics And Statistics
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Author : Cheng-Few Lee
language : en
Publisher: Springer
Release Date : 2014-09-28
Handbook Of Financial Econometrics And Statistics written by Cheng-Few Lee and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-28 with Business & Economics categories.
The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.
A Practitioner S Guide To Discrete Time Yield Curve Modelling
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Author : Ken Nyholm
language : en
Publisher: Cambridge University Press
Release Date : 2021-01-07
A Practitioner S Guide To Discrete Time Yield Curve Modelling written by Ken Nyholm and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-01-07 with Business & Economics categories.
This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In addition to a thorough description of the Nelson-Siegel family of model, the Element contains a section on the intuitive relationship between P and Q measures, one on how the structure of a Nelson-Siegel model can be retained in the arbitrage-free framework, and a dedicated section that provides a detailed explanation for the Joslin, Singleton, and Zhu (2011) model.