Title: The affine arbitrage-free class of
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.