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07379cam a2200829Ma 4500 |
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ocn824488901 |
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OCoLC |
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20240829105831.0 |
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m d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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130115s2013 njua obs 001 0 eng d |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
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| LC control number |
2012020360 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
YDXCP |
| Language of cataloging |
eng |
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pn |
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YDXCP |
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830021139 |
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1129366469 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
1400845416 |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9781400845415 |
| Qualifying information |
(electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| Canceled/invalid ISBN |
9780691146805 |
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(hardcover ; |
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alk. paper) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| Canceled/invalid ISBN |
0691146802 |
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(hardcover ; |
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alk. paper) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| Canceled/invalid ISBN |
9781299051218 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| Canceled/invalid ISBN |
1299051219 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1515/9781400845415 |
| Source of number or code |
doi |
| 024 8# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
99956416314 |
| 035 ## - SYSTEM CONTROL NUMBER |
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| System control number |
484849 |
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(N$T) |
| 035 ## - SYSTEM CONTROL NUMBER |
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| System control number |
(OCoLC)824488901 |
| Canceled/invalid control number |
(OCoLC)830021139 |
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(OCoLC)847124803 |
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(OCoLC)857923241 |
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(OCoLC)874926362 |
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(OCoLC)961604091 |
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(OCoLC)962707494 |
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(OCoLC)979758428 |
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(OCoLC)988479258 |
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(OCoLC)992001627 |
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(OCoLC)992845389 |
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(OCoLC)1037730829 |
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(OCoLC)1038700290 |
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(OCoLC)1045502429 |
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(OCoLC)1055406358 |
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(OCoLC)1058207177 |
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(OCoLC)1062905220 |
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(OCoLC)1071989152 |
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(OCoLC)1085168449 |
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(OCoLC)1103278674 |
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(OCoLC)1113415202 |
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(OCoLC)1129366469 |
| 037 ## - SOURCE OF ACQUISITION |
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| Stock number |
436371 |
| Source of stock number/acquisition |
MIL |
| 037 ## - SOURCE OF ACQUISITION |
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| Stock number |
22573/ctt1chbx5 |
| Source of stock number/acquisition |
JSTOR |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HG4651 |
| Item number |
.D537 2013eb |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
BUS |
| Subject category code subdivision |
036000 |
| Source |
bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
BUS061000 |
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bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
BUS086000 |
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bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
BUS069030 |
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bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
BUS027000 |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
332.63/2042 |
| Edition number |
23 |
| 049 ## - LOCAL HOLDINGS (OCLC) |
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| Holding library |
MAIN |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Diebold, Francis X., |
| Dates associated with a name |
1959- |
| Relator term |
author. |
| -- |
https://id.oclc.org/worldcat/entity/E39PBJgX8t8fqhTDQWFfRyYgKd |
| 9 (RLIN) |
652466 |
| 245 10 - TITLE STATEMENT |
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| Title |
Yield curve modeling and forecasting : |
| Remainder of title |
the dynamic Nelson-Siegel approach / |
| Statement of responsibility, etc. |
Francis X. Diebold, Glenn D. Rudebusch. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc. |
Princeton : |
| Name of publisher, distributor, etc. |
Princeton University Press, |
| Date of publication, distribution, etc. |
©2013. |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
1 online resource (xviii, 203 pages) : |
| Other physical details |
illustrations |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
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| File type |
text file |
| Encoding format |
PDF |
| Source |
rda |
| 490 1# - SERIES STATEMENT |
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| Series statement |
The Econometric and Tinbergen Institutes lectures |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc |
Includes bibliographical references and index. |
| 588 0# - SOURCE OF DESCRIPTION NOTE |
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| Source of description note |
Print version record. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
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 rigorou. |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
Cover; Yield Curve Modeling and Forecasting; THE ECONOMETRIC AND TINBERGEN INSTITUTES LECTURES; Title; Copyright; Dedication; Contents; List of Illustrations; Illustrations; Figures; Tables; Introduction; Preface; Additional Acknowledgment; 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; 1.1 Bond Yield Statistics; 1.2 Yield Spread Statistics; 1.2 Bond Yields in Two Dimensions; 1.3 Bond Yield Principal Components; 1.3 Yield Principal Components Statistics. |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
1.4 Empirical Level, Slope, and Curvature and First Three Principal Components of Bond Yields1.5 Yield Curve Questions; 1.6 Onward; 2 Dynamic Nelson-Siegel; 2.1 Curve Fitting; 2.2 Introducing Dynamics; 2.1 DNS Factor Loadings; 2.3 State-Space Representation; 2.4 Estimation; 2.5 Multicountry Modeling; 2.6 Risk Management; 2.7 DNS Fit and Forecasting; 2.2 Out-of-Sample Forecasting Performance: DNS vs. Random Walk; 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). |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
3.6 Estimation3.1 AFNS Parameter Restrictions on the Canonical A0(3) Model; 3.7 AFNS Fit and Forecasting; 3.2 Out-of-Sample Forecasting Performance: Four DNS and AFNS Models; 3.3 Out-of-Sample Forecasting Performance: Random Walk, A0(3), and AFNSindep; 4 Extensions; 4.1 Variations on the Basic Theme; 4.2 Additional Yield Factors; 4.1 DNSS Factor Loadings; 4.2 DGNS Factor Loadings; 4.3 Stochastic Volatility; 4.4 Macroeconomic Fundamentals; 5 Macro-Finance; 5.1 Macro-Finance Yield Curve Modeling; 5.2 Macro-Finance and AFNS; 5.1 Nominal and Real Yields and BEI Rates. |
| 505 8# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
5.2 BEI Rates and Expected Inflation5.3 Probabilities of Nonpositive Net Inflation; 5.4 LIBOR Spreads; 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?; Appendixes; Appendix A Two-Factor AFNS Calculations; A.1 Risk-Neutral Probability; A.2 Euler Equation; Appendix B Details of AFNS Restrictions; B.1 Independent-Factor AFNS; B.2 Correlated-Factor AFNS; Appendix C The AFGNS Yield-Adjustment Term; Bibliography; Index. |
| 546 ## - LANGUAGE NOTE |
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| Language note |
In English. |
| 590 ## - LOCAL NOTE (RLIN) |
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| Local note |
Added to collection customer.56279.3 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Bonds |
| General subdivision |
Mathematical models. |
| 9 (RLIN) |
69529 |
| 650 #6 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Obligations (Valeurs) |
| General subdivision |
Modèles mathématiques. |
| 9 (RLIN) |
969277 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
BUSINESS & ECONOMICS |
| General subdivision |
Investments & Securities |
| -- |
General. |
| Source of heading or term |
bisacsh |
| 9 (RLIN) |
96799 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
BUSINESS & ECONOMICS |
| General subdivision |
Statistics. |
| Source of heading or term |
bisacsh |
| 9 (RLIN) |
79153 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Bonds |
| General subdivision |
Mathematical models |
| Source of heading or term |
fast |
| 9 (RLIN) |
69529 |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Rudebusch, Glenn D., |
| Dates associated with a name |
1959- |
| Relator term |
author. |
| -- |
https://id.oclc.org/worldcat/entity/E39PBJbtqJkTYHxykvqbTFHgrq |
| 9 (RLIN) |
993324 |
| 758 ## - |
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has work: |
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Yield curve modeling and forecasting (Text) |
| -- |
https://id.oclc.org/worldcat/entity/E39PCFJbrJ3qyc9JHVBC4kQtXd |
| -- |
https://id.oclc.org/worldcat/ontology/hasWork |
| 773 08 - HOST ITEM ENTRY |
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| Relationship information |
Druckausg.: |
| Main entry heading |
Diebold, Francis X. |
| Title |
Yield curve modeling and forecasting. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Relationship information |
Print version: |
| Main entry heading |
Diebold, Francis X., 1959- |
| Title |
Yield curve modeling and forecasting. |
| Place, publisher, and date of publication |
Princeton : Princeton University Press, ©2013 |
| International Standard Book Number |
9780691146805 |
| Record control number |
(DLC) 2012020360 |
| -- |
(OCoLC)792880998 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
|---|
| Uniform title |
Econometric and Tinbergen Institutes lectures. |
| 9 (RLIN) |
539367 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
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| Materials specified |
EBSCOhost |
| Uniform Resource Identifier |
<a href="https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=484849">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=484849</a> |
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Askews and Holts Library Services |
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AH26388160 |
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Coutts Information Services |
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COUT |
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24685660 |
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De Gruyter |
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DEGR |
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9781400845415 |
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ebrary |
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ebr10640069 |
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EBSCOhost |
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EBSC |
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484849 |
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ProQuest MyiLibrary Digital eBook Collection |
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IDEB |
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cis24685660 |
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YBP Library Services |
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YANK |
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9958982 |
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92 |
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