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

DOI10.1080/13504860500394367zbMATH Open1157.91365OpenAlexW1978414394MaRDI QIDQ5489326FDOQ5489326

Authors: 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

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zbMATH Keywords

yield curveterm structure of interest ratesHeath-Jarrow-Morton frameworkNelson and Siegel model

Mathematics Subject Classification ID

Cites Work

• Forecasting the term structure of government bond yields
• Interest rate dynamics and consistent forward rate curves
• A note on the Nelson-Siegel family
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing interest-rate-derivative securities
• Title not available (Why is that?)
• The Term Structure of Simple Forward Rates with Jump Risk
• Exponential-polynomial families and the term structure of interest rates
• Stochastic volatility Gaussian Heath-Jarrow-Morton models

Cited In (26)

• Modeling and forecasting the yield curve by an extended Nelson-Siegel class of models: a quantile autoregression approach
• Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates
• Estimation and inference in the yield curve model with an instantaneous error term
• Yield curve modeling and forecasting. The dynamic Nelson-Siegel approach
• ARBITRAGE SMOOTHING IN FITTING A SEQUENCE OF YIELD CURVES
• An arbitrage‐free generalized Nelson–Siegel term structure model
• Extrapolating Long-Run Yield Curves: An Innovative and Consistent Approach
• Ramsey rule with forward/backward utility for long-term yield curves modeling
• Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
• Forecasting the yield curve using a dynamic natural cubic spline model
• The dynamics of economic functions: modeling and forecasting the yield curve
• Decreasing Yield Curves in a Model with an Unknown Constant Growth Rate
• Adaptive dynamic Nelson-Siegel term structure model with applications
• Affine Nelson-Siegel model
• Forecasting the yield curve for the euro region
• A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates
• Correction to: ``Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products
• Consistent yield curve prediction
• Consistent recalibration of yield curve models
• Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?
• Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
• Ab initio yield curve dynamics
• Some remarks on the Nelson-Siegel model
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
• Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling

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