Christensen, Jens H. E.
[VerfasserIn]
;
Diebold, Francis X.
[Sonstige Person, Familie und Körperschaft];
Rudebusch, Glenn D.
[Sonstige Person, Familie und Körperschaft]National Bureau of Economic Research
Erschienen:
Cambridge, Mass: National Bureau of Economic Research, November 2007
Erschienen in:NBER working paper series ; no. w13611
Umfang:
1 Online-Ressource
Sprache:
Englisch
DOI:
10.3386/w13611
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
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Beschreibung:
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