A Theoretical Foundation for the Nelson-Siegel Class of Yield Curve Models
Author:
Affiliation:
1. Reserve Bank of New Zealand; Wellington New Zealand
2. Centre for Applied Macroeconomic Analysis (CAMA); Canberra Australia
Publisher
Wiley
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/jae.2360/fullpdf
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3. Anderson N Sleath J. 2001 New estimates of the UK real and nominal yield curves
4. A simple approach to three-factor affine term structure models;Balduzzi;Journal of Fixed Income,1996
5. Bank for International Settlements 2005 Zero-coupon yield curves: technical documentation. BIS Papers 25
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