A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models (Q5489326)

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scientific article; zbMATH DE number 5057351
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A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
scientific article; zbMATH DE number 5057351

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    A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models (English)
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    25 September 2006
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    yield curve
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    term structure of interest rates
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    Nelson and Siegel model
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    Heath-Jarrow-Morton framework
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