Arbitrage-free Nelson-Siegel model for multiple yield curves (Q2120601): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 23:37, 1 February 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