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

DOI10.1080/13504860500394367zbMath1157.91365OpenAlexW1978414394MaRDI QIDQ5489326

Leo Krippner

Publication date: 25 September 2006

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860500394367

zbMATH Keywords

term structure of interest ratesyield curveHeath-Jarrow-Morton frameworkNelson and Siegel model

Mathematics Subject Classification ID

Related Items

The affine arbitrage-free class of Nelson-Siegel term structure models ⋮ An arbitrage‐free generalized Nelson–Siegel term structure model

Cites Work

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• Exponential-polynomial families and the term structure of interest rates