Arbitrage-free Nelson-Siegel model for multiple yield curves (Q2120601): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 06:57, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Arbitrage-free Nelson-Siegel model for multiple yield curves |
scientific article |
Statements
Arbitrage-free Nelson-Siegel model for multiple yield curves (English)
0 references
1 April 2022
0 references
affine processes
0 references
dynamic factor model
0 references
multiple term structures
0 references
Nelson-Siegel curve
0 references
