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Yield Curve Modeling and Forecasting

Yield Curve Modeling and Forecasting :The Dynamic Nelson-Siegel ApproachFrancis X. DieboldUniversity of PennsylvaniaGlenn D. RudebuschFederal Reserve Bank of San FranciscoApril 29, 2012iiContentsPrefacexi1 Facts, factors , and Three Interest Rate curves .. Zero-Coupon Yields .. Yield Curve Facts .. Yield Curve factors .. Yield Curve Questions .. use factor models for yields? .. should bond Yield factors and factorloadings be constructed? .. imposition of no arbitrage useful? .. should term premiums be specified? . are Yield factors andmacroeconomic variables related?

1.5.1 Why use factor models for yields? . . . . . 13 ... conducting monetary policy, and valuing capital goods. To investigate yield curve dynamics, researchers ... pricing, portfolio allocation, and risk management. We use this book, just as we used the EITI Lectures, as an

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