A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates
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Publication:2398584
DOI10.1007/s10690-014-9191-xzbMath1368.91177OpenAlexW2024390316MaRDI QIDQ2398584
Publication date: 16 August 2017
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-014-9191-x
Cites Work
- Forecasting the term structure of government bond yields
- The affine arbitrage-free class of Nelson-Siegel term structure models
- How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
- A Theory of the Term Structure of Interest Rates
- A YIELD‐FACTOR MODEL OF INTEREST RATES