登入選單

返回Google圖書搜尋

The Affine Arbitrage-free Class of Nelson-Siegel Term Structure Models

Jens H. E. ChristensenFrancis X. DieboldGlenn D. Rudebusch

出版	National Bureau of Economic Research, 2007
URL	http://books.google.com.hk/books?id=whPwAAAAMAAJ&hl=&source=gbs_api

註釋

We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this canonical representation greatly improves its empirical tractability; furthermore, we find that improvements in predictive performance are achieved from the imposition of absence of arbitrage.