Arbitrage-free Nelson-Siegel model for multiple yield curves (Q2120601)

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Arbitrage-free Nelson-Siegel model for multiple yield curves
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    title
    Arbitrage-free Nelson-Siegel model for multiple yield curves (English)
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    author
    Riccardo Brignone
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    Christoph Gerhart
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    Eva Lütkebohmert
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    publication date
    1 April 2022
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    zbMATH DE Number
    7501342
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    zbMATH Keywords
    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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