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Yield Curve Modeling and Forecasting
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Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Francis X. Diebold and Glenn D. Rudebusch

Abstract

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. This book proposes two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first ex ... More

Keywords: yield curve, yield curve models, dynamic Nelson–Siegel model, arbitrage-free models, DNS, AFNS

Bibliographic Information

Print publication date: 2013 Print ISBN-13: 9780691146805
Published to Princeton Scholarship Online: October 2017 DOI:10.23943/princeton/9780691146805.001.0001

Authors

Affiliations are at time of print publication.

Francis X. Diebold, author
University of Pennsylvania

Glenn D. Rudebusch, author
Federal Reserve Bank of San Francisco