Krippner, L: Consistent Nelson and Siegel Yield Curve Models
(Sprache: Englisch)
A popular class of yield curve models is based on the Nelson and Siegel (1987) (hereafterNS) approach of "fitting" yield curve data with simple functions of maturity. However, NS models are not theoretically consistent and they also lack an economic...
Leider schon ausverkauft
versandkostenfrei
Buch
68.00 €
34 DeutschlandCard Punkte
sammeln
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenlose Rücksendung
- Ratenzahlung möglich
Produktdetails
Produktinformationen zu „Krippner, L: Consistent Nelson and Siegel Yield Curve Models “
Klappentext zu „Krippner, L: Consistent Nelson and Siegel Yield Curve Models “
A popular class of yield curve models is based on the Nelson and Siegel (1987) (hereafterNS) approach of "fitting" yield curve data with simple functions of maturity. However, NS models are not theoretically consistent and they also lack an economic foundation, which limits their wider application in finance and economics.This thesis derives an intertemporally-consistent and arbitrage-free version of the NS model, and provides an explicit macroeconomic foundation for that augmented NS (ANS) model. To illustrate the general applicability of the ANS model, it is then applied to four distinct topics spanning finance and economics, each of which are active areas ofresearch in their own right: i.e (1) forecasting the yield curve; (2) investigating relationshipsbetween the yield curve and the macroeconomy; (3) fixed interest portfoliomanagement; and (4) investigating the uncovered interest parity hypothesis (UIPH).
Autoren-Porträt von Leo Krippner
Leo Krippner obtained a PhD in finance and economics at the University of Waikato, and works as a Senior Advisor: Research at the Reserve Bank of New Zealand. He has previously worked at the New Zealand Treasury and in private sector funds management.
Bibliographische Angaben
- Autor: Leo Krippner
- 2009, 168 Seiten, Maße: 15 x 21,9 cm, Kartoniert (TB), Englisch
- Verlag: VDM Verlag
- ISBN-10: 3639155440
- ISBN-13: 9783639155440
Sprache:
Englisch
Kommentar zu "Krippner, L: Consistent Nelson and Siegel Yield Curve Models"
0 Gebrauchte Artikel zu „Krippner, L: Consistent Nelson and Siegel Yield Curve Models“
| Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
|---|
Schreiben Sie einen Kommentar zu "Krippner, L: Consistent Nelson and Siegel Yield Curve Models".
Kommentar verfassen