| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14463 |
| 来源ID | Working Paper 14463 |
| An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model | |
| Jens H.E. Christensen; Francis X. Diebold; Glenn D. Rudebusch | |
| 发表日期 | 2008-11-06 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new arbitrage-free generalized Nelson-Siegel model and demonstrate its tractability and good in-sample fit. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w14463 |
| 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/572138 |
| 推荐引用方式 GB/T 7714 | Jens H.E. Christensen,Francis X. Diebold,Glenn D. Rudebusch. An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model. 2008. |
| 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 | ||
| w14463.pdf（413KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
