Arbitrage-free Nelson-Siegel model for multiple yield curves (Q2120601)
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scientific article; zbMATH DE number 7501342
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Arbitrage-free Nelson-Siegel model for multiple yield curves |
scientific article; zbMATH DE number 7501342 |
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Arbitrage-free Nelson-Siegel model for multiple yield curves (English)
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1 April 2022
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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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0.8380913734436035
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0.8285054564476013
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0.825053334236145
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0.7939783334732056
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0.7932530641555786
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