An arbitrage‐free generalized Nelson–Siegel term structure model

DOI10.1111/j.1368-423X.2008.00267.xzbMath1179.91246OpenAlexW3126089532MaRDI QIDQ3653355

Jens H. E. Christensen, Glenn D. Rudebusch, Francis X. Diebold

Publication date: 22 December 2009

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00267.x

zbMATH Keywords

yield curveNelson-Siegelarbitrage-freeSvensson extension

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (11)

The yield curve and the macro-economy across time and frequencies ⋮ CONSISTENT YIELD CURVE PREDICTION ⋮ Funding shortages, expectations, and forward rate risk premium ⋮ Monetary policy is not always systematic and data-driven: evidence from the yield curve ⋮ Inference in functional factor models with applications to yield curves ⋮ 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? ⋮ Consistent dynamic affine mortality models for longevity risk applications ⋮ A Bayesian approach to term structure modeling using heavy‐tailed distributions ⋮ 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? ⋮ Term structure analysis with big data: one-step estimation using bond prices

Cites Work

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• Forecasting the term structure of government bond yields
• The macroeconomy and the yield curve: a dynamic latent factor approach
• Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
• A Note on the Nelson-Siegel Family
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson–Siegel Model With Time-Varying Parameters
• A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models

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