An arbitrage‐free generalized Nelson–Siegel term structure model
Author:
Affiliation:
1. Federal Reserve Bank of San Francisco, 101 Market Street, San Francisco, CA 94105‐1579, USA
2. University of Pennsylvania, 3451 Walnut Street, Philadelphia, PA 19104, USA
3. NBER, 1050 Massachusetts Avenue, Cambridge, MA 02138, USA
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics
Link
http://academic.oup.com/ectj/article-pdf/12/3/C33/27664698/ectj0c33.pdf
Reference25 articles.
1. The role of no‐arbitrage in forecasting: lessons from a parametric term structure model;Almeida;Journal of Banking and Finance,2008
2. Interest rate dynamics and consistent forward rate curves;Björk;Mathematical Finance,1999
3. The dynamics of economic functions: modelling and forecasting the yield curve;Bowsher;Journal of the American Statistical Association,2008
4. The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models
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