Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
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Specifications
| Publisher | Princeton University Press |
| ISBN 13 | 9780691146805 |
| ISBN 10 | 0691146802 |
| Author | Francis X. Diebold |
| Book Format | Hardcover |
| Language | English |
| Book Description | Offers 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 ca |
| About the Author | Francis X. Diebold is the Paul F. and Warren S. Miller Professor of Economics at the University of Pennsylvania and professor of finance and statistics at the university's Wharton School. Glenn D. Rudebusch is executive vice president and director of economic research at the Federal Reserve Bank of San Francisco. They are the coauthors of Business Cycles: Durations, Dynamics, and Forecasting (Princeton). Read more |
| Publication Date | 15 January 2013 |
| Number of Pages | 224 pages |
Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach
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