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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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