Affine Nelson-Siegel model

DOI10.1016/J.ECONLET.2010.10.003zbMath1207.91067OpenAlexW1972859071MaRDI QIDQ621711

Rodrigo A. Alfaro

Publication date: 28 January 2011

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2010.10.003

zbMATH Keywords

Euler equationyield curveaffine modelsNelson-Siegel model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• Forecasting the term structure of government bond yields
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure

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