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Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach (The Econometric and Tinbergen Institutes Lectures) Hardcover – January 15, 2013


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Editorial Reviews

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"Diebold and Rudebusch have succeeded in writing a milestone book that will be used variously as a standard reference, a guide for future research topics, a text book, or as a convenient introduction to the topics of yield curve modeling and macro-finance. Hence, while forecasting (especially about the future) is always fraught with peril, I'm confident that copies of the book will find their way into many collections, and that they will be actively used when they get there."--Leo Krippner, International Review of Economics and Finance

"[T]he methods presented in the book are of great importance in financial market practice. The book is designed for academics, students, and practitioners working in yield curve modeling and forecasting, and it will be useful for all interested in bond markets and their links with the macroeconomic environment."--Malgorzata Doman, Zentralblatt MATH

From the Back Cover


"This lucid and concise book is unique in the field of term structure modeling. It leads readers from yield curve basics, with a popular and intuitive term structure model, to the frontiers of academia in associated fields. By the end of the book, readers will be inspired and enlightened enough to push those frontiers in the many open research directions noted by the authors, particularly in the emerging field of macro-finance."--Leo Krippner, Reserve Bank of New Zealand


"This timely and enlightening book covers the latest developments in the cutting-edge field of yield curve modeling in financial economics and macro-finance. Even active researchers in this area undoubtedly will learn something new. The book is clearly written by two distinguished scholars who share their insights and provide many refreshing clear-cut messages about theoretical and empirical issues in yield curve modeling and forecasting."--Lasse Bork, Aalborg University, Denmark


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