A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
From MaRDI portal
Publication:5489326
Recommendations
- Yield curve modeling and forecasting. The dynamic Nelson-Siegel approach
- The affine arbitrage-free class of Nelson-Siegel term structure models
- Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?
- Modeling and forecasting the yield curve by an extended Nelson-Siegel class of models: a quantile autoregression approach
- Forecasting the term structure of government bond yields
Cites work
- scientific article; zbMATH DE number 1237740 (Why is no real title available?)
- A note on the Nelson-Siegel family
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Exponential-polynomial families and the term structure of interest rates
- Forecasting the term structure of government bond yields
- Interest rate dynamics and consistent forward rate curves
- Pricing interest-rate-derivative securities
- Stochastic volatility Gaussian Heath-Jarrow-Morton models
- The Term Structure of Simple Forward Rates with Jump Risk
Cited in
(26)- Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
- 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
- Modeling and forecasting the yield curve by an extended Nelson-Siegel class of models: a quantile autoregression approach
- 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
- Forecasting the yield curve using a dynamic natural cubic spline model
- Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
- Decreasing Yield Curves in a Model with an Unknown Constant Growth Rate
- The dynamics of economic functions: modeling and forecasting the yield curve
- 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
- Consistent yield curve prediction
- Correction to: ``Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products
- 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
This page was built for publication: A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5489326)
