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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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Dynamic Nelson-Siegel

Dynamic Nelson-Siegel

Chapter:
(p.23) 2 Dynamic Nelson-Siegel
Source:
Yield Curve Modeling and Forecasting
Author(s):

Francis X. Diebold

Glenn D. Rudebusch

Publisher:
Princeton University Press
DOI:10.23943/princeton/9780691146805.003.0002

This chapter starts with static in the cross section, then proceeds quickly to dynamic Nelson–Siegel modeling, with all its nuances and opportunities. Among other things, it emphasizes the model's state-space structure, generalizes it to the multicountry context, and highlights aspects of its use in risk management and forecasting.

Keywords:   Nelson–Siegel curve fitting, dynamic Nelson–Siegel modeling, state–space structure, multicountry modeling, risk management, forecasting

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