| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13611 |
| 来源ID | Working Paper 13611 |
| The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models | |
| Jens H. E. Christensen; Francis X. Diebold; Glenn D. Rudebusch | |
| 发表日期 | 2007-11-26 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w13611 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571294 |
| 推荐引用方式 GB/T 7714 | Jens H. E. Christensen,Francis X. Diebold,Glenn D. Rudebusch. The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13611.pdf（332KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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