The affine arbitrage-free class of
Subtitle: nelson-siegel term structure models
By: Jens H. E. Christensen, Francis X. Diebold, Glenn D. Rudebusch
Contributors: Diebold, Francis X., 1959-; Rudebusch, Glenn D., 1959-; National Bureau of Economic Research
Series: NBER working paper series -- working paper 13611; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13611.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] :
Description: "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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 12/5/2007.

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