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The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models / Jens H. E. Christensen, Francis X. Diebold, Glenn D. Rudebusch.
- Format:
- Book
- Author/Creator:
- Christensen, Jens H. E.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w13611.
- NBER working paper series no. w13611
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- The Affine Arbitrage-Free Class of
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2007.
- Summary:
- We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this canonical representation greatly improves its empirical tractability; furthermore, we find that improvements in predictive performance are achieved from the imposition of absence of arbitrage.
- Notes:
- Print version record
- November 2007.
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