Coroneo L, Nyholmy K, Vidova-Kolevaz R. 2011. How arbitrage-free is the Nelson-Siegel model? Journal of Empirical Finance 18(3): 393-407.Coroneo, L., K. Nyholm, and R. Vidova-Koleva (2011) `How arbitrage-free is the nelson-siegel model?' Journal of Empirical Finance...
Interest rate derivativesWe propose a generalized arbitrage-free Nelson-Siegel model under the HJM framework. It features unspanned stochastic volatility factors while maintaining a Neldoi:10.2139/ssrn.2509327Rui ChenKe DuXiaoneng ZhuSSRN Electronic Journal...
D. Rudebusch, 2008, "An Arbitrage-Free Generalized Nelson- Siegel Term Structure Model," working paper, Federal Reserve Bank of San Francisco and University of Pennsylvania.Christensen, Jens H., Francis X. Diebold, and Glenn Rudebusch, 2008, An arbitrage-free generalized Nelson-Siegel term ...
R. Chen and K. Du, "A generalised arbitrage-free Nelson-Siegel model: The impact of unspanned stochastic volatility," Finance Research Letters, vol. 10, no. 1, pp. 41-48, March 2013.Chen, R., & Du, K. (2013). A generalised arbitrage-free Nelson-Siegel model: The impact of un...
Nelson–Siegel curveWe propose an affine term structure model that allows for tenor-dependence of yield curves and thus for different risk categories in interbank rates, an important feature of post-crisis interest rate markets. The model has a Nelson鈥揝iegel factor loading structure and thus ...
An Arbitrage- Free Generalized Nelson-Siegel Term Structure Model. The Economet- rics Journal, 12, 33-64.Jens H. E. Christensen,Francis X. Diebold,Glenn D. Rudebusch."An arbitrage-free generalized Nelson-Siegel term structure model,". Econometrics Journal, Royal Economic Society . 2009...
Sim. A modified arbitrage-free Nelson Siegel model: An alternative affine term structure model of interest rates.Sim, D., & Ohnishi, M. (2014). A modified arbitrage-free Nelson-Siegel model: An alternative affine term structure model of interest rates. Asia-Pacific Financial Markets, (pp. 1...
RoutledgeApplied Financial EconomicsJ. M. Steeley. A shape-based decomposition of the yield adjustment term in the arbitrage-free Nelson and Siegel (AFNS) model of the yield curve. Applied Financial Economics, (ahead-of-print):1-9, 2014....
A closed-form solution for zero-coupon bonds is obtained for a version of the discrete-time arbitrage-free Nelson-Siegel model. An estimation procedure relying on a Kalman filter is provided. The model is shown to produce adequate fit when applied to historical Canadian spot...
Moreover, the estimation of arbitrage-free Nelson-Siegel model is tractable and a good fit to long maturity yield curve.EBSCO_bspWorking Papers Financial Institutions Center at the Wharton School