Yield Curve Modeling And Forecasting PDF Download
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Author | : Francis X. Diebold |
Publisher | : Princeton University Press |
Total Pages | : 223 |
Release | : 2013-01-15 |
Genre | : Business & Economics |
ISBN | : 0691146802 |
Download Yield Curve Modeling and Forecasting Book in PDF, ePub and Kindle
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. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Author | : Wolfgang Karl Härdle |
Publisher | : |
Total Pages | : |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Yield Curve Modeling and Forecasting Using Semiparametric Factor Dynamics Book in PDF, ePub and Kindle
Author | : Ronald J. Ryan |
Publisher | : Global Professional Publishi |
Total Pages | : 240 |
Release | : 1997 |
Genre | : Business & Economics |
ISBN | : 9781888998061 |
Download Yield Curve Dynamics Book in PDF, ePub and Kindle
� Invaluable to financial professionals � Breakthrough that examines both theory and practical solutions Examines both the advanced theory and practice of these techniques. Topics include: single- and multi-factor models; applying yield-curve modeling to risk management; forecasting short-term interest rates; unique yield-curve volatility; and trading strategies.
Author | : Y. Stander |
Publisher | : Springer |
Total Pages | : 202 |
Release | : 2005-06-23 |
Genre | : Business & Economics |
ISBN | : 0230513743 |
Download Yield Curve Modeling Book in PDF, ePub and Kindle
This book will give the reader insight into how to model yield curves in our incomplete and imperfect financial markets. An extensive list of yield curve models are shown and discussed. Using actual market instruments, these models are then applied and the different yield curves are compared. It is assumed that the reader has a basic understanding of the financial instruments available in the market. Various issues that have to be taken into account in practice are discussed, like daycount conventions, business-day rules, the credit quality of the instrument and liquidity to name but a few. It is also shown how yield curves can be used to estimate credit spreads and country risk premiums. Creating a yield curve model has some implications in risk management. Specifically - the model, operational, liquidity and basis risks are discussed.
Author | : Francesco Donati |
Publisher | : |
Total Pages | : 52 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Modeling and Forecasting the Yield Curve Under Model Uncertainty Book in PDF, ePub and Kindle
We propose a methodology that permits to investigate and forecast the behavior of a variable and its determinants in real time, both in the time and in the frequency domain, starting from a model designed in the time domain, which makes the presentation and evaluation of the results straightforward. This paper applies the methodology to the yield curve. We extract all the shocks affecting the forward rates and the yields and we divide them into three disjoint classes: 1) long-run shocks giving rise to possibly permanent effects, 2) medium-run forces and 3) short-run forces giving rise to transitory effects. These forces drive the low-, medium- and high-frequency component, respectively, composing the time series of the variables used in the model. We explicitly model and estimate such cause-and-effect relationships. The analysis of the shocks and the frequency components provides a timely and comprehensive overview of the nature of the movements in the yields. Furthermore, using the forecast of the frequency components to forecast the yields enhances forecast accuracy, also at long prediction horizons. To perform the frequency decompositions, to identify the forces governing the evolution of the model variables, and to perform the out-of-sample forecasts we use a dynamic filter whose embedded feedback control corrects for model uncertainty.
Author | : Di Huo |
Publisher | : |
Total Pages | : 94 |
Release | : 2007 |
Genre | : Economic forecasting |
ISBN | : |
Download Modeling and Forecasting Canadian Yield Curve with Macroeconomic Determinants Book in PDF, ePub and Kindle
Term structure of interest rates is crucial for pricing bonds and managing financial risks. The yield curve of zero-coupon bonds can typically be used to measure the term structure of interest rates. In this paper, we use the popular Nelson-Siegel three-factor framework to model the entire Canadian yield curve. The empirical results show that the model fits the Canadian yield curve well. We estimate vector autoregressive models for the three factors in order to produce out-of-sample forecasts, and also employ seven natural competitors for comparison. Our forecast results are encouraging. Our model is superior to most competitors, especially at longer horizons. We further incorporate macro variables into the yield-only model. From the results of forecast comparison test between the yield-only model and yield-macro model, we conclude that a joint dynamic term structure model incorporating macro variables contributes to sharpening our ability of forecasting yields accurately out of sample.
Author | : Cheng-Few Lee |
Publisher | : Springer |
Total Pages | : 0 |
Release | : 2014-09-28 |
Genre | : Business & Economics |
ISBN | : 9781461477495 |
Download Handbook of Financial Econometrics and Statistics Book in PDF, ePub and Kindle
The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.
Author | : Wolfgang K. Härdle |
Publisher | : |
Total Pages | : 33 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Yield Curve Modeling and Forecasting Using Semiparametric Factor Dynamics Book in PDF, ePub and Kindle
Standard fixed symmetric kernel type density estimators are known to encounter problems for positive random variables with a large probability mass close to zero. We show that in such settings, alternatives of asymmetric gamma kernel estimators are superior but also differ in asymptotic and finite sample performance conditional on the shape of the density near zero and the exact form of the chosen kernel. We therefore suggest a refined version of the gamma kernel with an additional tuning parameter according to the shape of the density close to the boundary. We also provide a data-driven method for the appropriate choice of the modified gamma kernel estimator. In an extensive simulation study we compare the performance of this refined estimator to standard gamma kernel estimates and standard boundary corrected and adjusted fixed kernels. We find that the finite sample performance of the proposed new estimator is superior in all settings. Two empirical applications based on high-frequency stock trading volumes and realized volatility forecasts demonstrate the usefulness of the proposed methodology in practice.
Author | : Chao He |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Forecasting the Yield Curve of Government Bonds Book in PDF, ePub and Kindle
Author | : Ken Nyholm |
Publisher | : Cambridge University Press |
Total Pages | : 152 |
Release | : 2021-01-07 |
Genre | : Business & Economics |
ISBN | : 1108982301 |
Download A Practitioner's Guide to Discrete-Time Yield Curve Modelling Book in PDF, ePub and Kindle
This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In addition to a thorough description of the Nelson-Siegel family of model, the Element contains a section on the intuitive relationship between P and Q measures, one on how the structure of a Nelson-Siegel model can be retained in the arbitrage-free framework, and a dedicated section that provides a detailed explanation for the Joslin, Singleton, and Zhu (2011) model.