An arbitrage‐free generalized Nelson–Siegel term structure model
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Publication:3653355
DOI10.1111/j.1368-423X.2008.00267.xzbMath1179.91246MaRDI QIDQ3653355
Jens H. E. Christensen, Glenn D. Rudebusch, Francis X. Diebold
Publication date: 22 December 2009
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00267.x
91G70: Statistical methods; risk measures
91G30: Interest rates, asset pricing, etc. (stochastic models)
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