Arbitrage-free Nelson-Siegel model for multiple yield curves (Q2120601): Difference between revisions
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Latest revision as of 23:52, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Arbitrage-free Nelson-Siegel model for multiple yield curves |
scientific article |
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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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