Arbitrage-free Nelson-Siegel model for multiple yield curves

DOI10.1007/S11579-021-00308-YMaRDI QIDQ2120601zbMATH OpenOpenAlexFDO

Authors Riccardo Brignone, Christoph Gerhart, Eva Lütkebohmert

Publication date 1 April 2022

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11579-021-00308-y

zbMATH Keywords

affine processesdynamic factor modelmultiple term structuresNelson-Siegel curve

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A general HJM framework for multiple yield curve modelling
• A multi-quality model of interest rates
• A multiple curve Lévy swap market model
• A multiple-curve Lévy forward rate model in a two-price economy
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Affine LIBOR models with multiple curves: theory, examples and calibration
• Affine multiple yield curve models
• Credit risk in Lévy Libor modeling: rating based approach.
• Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
• Empirical analysis and forecasting of multiple yield curves
• Empirical dynamic asset pricing: model specification and econometric assessment
• Exponential moments of affine processes
• Forecasting the term structure of government bond yields
• Multiple yield curve modelling with CBI processes
• Nonlinear economic dynamics and financial modelling. Essays in honour of Carl Chiarella
• Term structure modelling for multiple curves with stochastic discontinuities
• The affine arbitrage-free class of Nelson-Siegel term structure models

Cited in

(12)

• Affine arbitrage-free yield net models with application to the euro debt crisis
• Empirical analysis and forecasting of multiple yield curves
• A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates
• ARBITRAGE SMOOTHING IN FITTING A SEQUENCE OF YIELD CURVES
• An arbitrage‐free generalized Nelson–Siegel term structure model
• Consistent yield curve prediction
• Multiple curve Lévy forward price model allowing for negative interest rates
• Affine multiple yield curve models
• Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates
• Interest Rates Term Structure Models Driven by Hawkes Processes
• Bayesian multivariate smoothing spline approach for yield curve joint estimation across bond types
• The affine arbitrage-free class of Nelson-Siegel term structure models

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