Arbitrage-free Nelson-Siegel model for multiple yield curves (Q2120601): Difference between revisions

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Latest revision as of 13:25, 28 July 2024

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Arbitrage-free Nelson-Siegel model for multiple yield curves
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    Arbitrage-free Nelson-Siegel model for multiple yield curves (English)
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    1 April 2022
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    affine processes
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    dynamic factor model
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    multiple term structures
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    Nelson-Siegel curve
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