The affine arbitrage-free class of Nelson-Siegel term structure models
From MaRDI portal
(Redirected from Publication:737987)
Recommendations
- An arbitrage‐free generalized Nelson–Siegel term structure model
- A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates
- Arbitrage-free Nelson-Siegel model for multiple yield curves
- A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
- Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?
Cites work
- A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A note on the Nelson-Siegel family
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters
- Empirical dynamic asset pricing: model specification and econometric assessment
- Forecasting the term structure of government bond yields
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- The macroeconomy and the yield curve: a dynamic latent factor approach
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(51)- Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
- Consistent curves in the -world: optimal bonds portfolio
- Evaluation of participating endowment life insurance policies in a stochastic environment
- Adaptive dynamic Nelson-Siegel term structure model with applications
- Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- Alternative way to derive the distribution of the multivariate Ornstein-Uhlenbeck process
- Shock and awe? Bond yield responses to domestic monetary policy in a small-open economy
- Term structure forecasting in affine framework with time-varying volatility
- A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates
- Arbitrage-free Nelson-Siegel model for multiple yield curves
- How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
- Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson-Siegel models
- Affine Nelson-Siegel model
- Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions
- Generalized Nelson-Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?
- The effects of conventional and unconventional monetary policy on forecasting the yield curve
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Yield curve forecast combinations based on bond portfolio performance
- Some remarks on the Nelson-Siegel model
- Cohort and value-based multi-country longevity risk management
- An innovative design of flexible, bequest-enhanced life annuity with natural hedging
- Revisiting the fitting of the Nelson–Siegel and Svensson models
- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
- Affine arbitrage-free yield net models with application to the euro debt crisis
- Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark
- Dynamic functional data analysis with non-parametric state space models
- ARBITRAGE SMOOTHING IN FITTING A SEQUENCE OF YIELD CURVES
- From bond yield to macroeconomic instability: a parsimonious affine model
- Bond flotation with exotic commodity collateral
- Consistent yield curve prediction
- The real risk in pension forecasting
- Scenario generation for long run interest rate risk assessment
- Modeling the density of US yield curve using Bayesian semiparametric dynamic Nelson-Siegel model
- Fundamental bubbles in equity markets
- Term structure analysis with big data: one-step estimation using bond prices
- Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models
- A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
- An explicitly solvable Heston model with stochastic interest rate
- Monetary reforms and inflation expectations in Japan: evidence from inflation-indexed bonds
- A comparing study on dynamic estimation of term structure of interest rate in China based on hybrid Nelson-Siegel models
- A finite-dimensional HJM model: How important is arbitrage-free evolution?
- An arbitrage‐free generalized Nelson–Siegel term structure model
- Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
- Regime switching affine processes with applications to finance
- Inequality Constrained State-Space Models
- Testable implications of affine term structure models
- Identification and estimation of Gaussian affine term structure models
- Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates
- Funding shortages, expectations, and forward rate risk premium
- Fitting dynamically consistent forward rate curves: algorithm and comparison
This page was built for publication: The affine arbitrage-free class of Nelson-Siegel term structure models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q737987)
