Arbitrage-free Nelson-Siegel model for multiple yield curves (Q2120601)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Arbitrage-free Nelson-Siegel model for multiple yield curves |
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
0 references
