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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| English | A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models |
scientific article; zbMATH DE number 5057351 |
Statements
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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0.8331068754196167
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0.8302077054977417
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0.8274619579315186
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0.8185786008834839
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0.814891517162323
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