The affine arbitrage-free class of Nelson-Siegel term structure models
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Publication:737987
DOI10.1016/j.jeconom.2011.02.011zbMath1441.62261OpenAlexW3125270793MaRDI QIDQ737987
Jens H. E. Christensen, Glenn D. Rudebusch, Francis X. Diebold
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.011
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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