Consistent Nelson and Siegel Yield Curve Models: Derivation and Applications - Couverture souple

Krippner, Leo

Couverture souple

ISBN 10 : 3639155440 ISBN 13 : 9783639155440

Editeur : VDM Verlag, 2009

Synopsis

A popular class of yield curve models is based on the Nelson and Siegel (1987) (hereafter NS) 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 of research in their own right: i.e (1) forecasting the yield curve; (2) investigating relationships between the yield curve and the macroeconomy; (3) fixed interest portfolio management; and (4) investigating the uncovered interest parity hypothesis (UIPH).

A propos du livre

À propos de l'auteur

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.

Détails de l'édition

• Éditeur: VDM Verlag
• Date d'édition: 2009
• Langue: anglais
• ISBN 10: 3639155440
• ISBN 13: 9783639155440
• Reliure: Broché
• Nombre de pages: 168
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible