Consistent Nelson and Siegel Yield Curve Models | Derivation and Applications

Leo Krippner

ISBN 10: 3639155440 / ISBN 13: 9783639155440

Published by VDM Verlag Dr. Müller, 2009

About this Item

Consistent Nelson and Siegel Yield Curve Models | Derivation and Applications | Leo Krippner | Taschenbuch | Englisch | VDM Verlag Dr. Müller | EAN 9783639155440 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu.

Seller Inventory # 101543214

Bibliographic Details

• Title: Consistent Nelson and Siegel Yield Curve Models | Derivation and Applications
• Publisher: VDM Verlag Dr. Müller
• Publication Date: 2009
• Language: English
• ISBN 10: 3639155440
• ISBN 13: 9783639155440
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 9D millimeters 220 millimeters width by 150 millimeters height by 9 millimeters depth
• Weight: 240 grams
• Seller catalogs:
  • Bücher

About this title

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).

About the Author

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.