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Yield Curve Modeling and ForecastingThe Dynamic Nelson-Siegel Approach$
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Francis X. Diebold and Glenn D. Rudebusch

Print publication date: 2013

Print ISBN-13: 9780691146805

Published to Princeton Scholarship Online: October 2017

DOI: 10.23943/princeton/9780691146805.001.0001

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Facts, Factors, and Questions

Facts, Factors, and Questions

Chapter:
(p.1) 1 Facts, Factors, and Questions
Source:
Yield Curve Modeling and Forecasting
Author(s):

Francis X. Diebold

Glenn D. Rudebusch

Publisher:
Princeton University Press
DOI:10.23943/princeton/9780691146805.003.0001

This chapter introduces some important conceptual, descriptive, and theoretical considerations regarding nominal government bond yield curves. Conceptually, just what is it that are we trying to measure? How can we best understand many bond yields at many maturities over many years? Descriptively, how do yield curves tend to behave? Can we obtain simple yet accurate dynamic characterizations and forecasts? Theoretically, what governs and restricts yield curve shape and evolution? Can we relate yield curves to macroeconomic fundamentals and central bank behavior? The discussions cover three interest rate curves, zero-coupon yields, yield curve facts, yield curve factors, and yield curve questions.

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

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