An arbitrage‐free generalized Nelson–Siegel term structure model

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

zbMATH Keywords

yield curve; Nelson-Siegel; arbitrage-free; Svensson extension

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91G30: Interest rates, asset pricing, etc. (stochastic models)

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