TY  - BOOK
AU  - Diebold,Francis X.
AU  - Rudebusch,Glenn D.
TI  - Yield curve modeling and forecasting : : the dynamic Nelson-Siegel approach / 
T2  - The Econometric and Tinbergen Institutes lectures
SN  - 9780691146805
U1  - 332.632042  21
PY  - 2013///
CY  - Princeton : 
PB  - Princeton University Press, 
KW  - Mercado de bonos
KW  - Administración de riesgos
N1  - Incluye referencias bibliográficas (páginas 178-195) e índice; 1. Facts, factors, and questions: 1.1 Three interest rate curves ; 1.2 Zero-coupon yields ; 1.3 Yield curve facts; 1.1 Bond yields in three dimensions; 1.4 Yield curve factors -- 2. Dynamic Nelson-Siegel: 2.1 Curve fitting ; 2.2 Introducing dynamics ; 2.3 State-space representation ; 2.4 Estimation ; 2.5 Multicounty modeling ; 2.6 Risk management ; 2.7 DNS Fit and forecasting -- 3. Arbitrage-free Nelson-Siegel: 3.1 A two-factor warm-up ; 3.2 The Duffie-Kan framework ; 3.3 Making DNS arbitrage-free ; 3.4 Workhorse models ; 3.5 AFNS restrictions on A0(3) ; 3.6 Estimation ; 3.7 AFNS fit and forecasting; 3.2 Out-of-sample forecasting -- 4. Extensions: 4.1 Variations on the basic Theme ; 4.2 Additional yield factors ; 4.3 Stochastic volatility ; 4.4 Macroeconomic fundamentals -- 5. Macro-finance: 5.1 Macro-finance yield curve modeling ; 5.3. Evolving research directions -- 6 Epilogue: 6.1. Is imposition of no-arbitrage helpful? ; 6.2 Is AFNS the only tractable A0(3) model? ; 6.3 Is AFNS special?
ER  -