Articlebronze2010

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

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

34 citations0/0 files storedFederal Reserve Bank of San Francisco, Working Paper Series

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

Abstract

We derive the class of affine arbitrage-free dynamic term structure models that approximate the widely-used Nelson-Siegel yield curve specification. These arbitrage-free Nelson-Siegel (AFNS) models can be expressed as slightly restricted versions of the canonical representation of the three-factor affine arbitrage-free model. Imposing the Nelson-Siegel structure on the canonical model greatly facilitates estimation and can improve predictive performance. In the future, AFNS models appear likely to be a useful workhorse representation for term structure research.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 34 citations exist upstream.

References

1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1987Parsimonious Modeling of Yield Curves 1996A YIELD‐FACTOR MODEL OF INTEREST RATES 2003Forecasting the Term Structure of Government Bond Yields 1991Common Factors Affecting Bond Returns 2000Specification Analysis of Affine Term Structure Models 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables

Cited by

2010Term Structure Forecasting using Macro Factors and Forecast Combination 2012Identification and Estimation of Gaussian Affine Term Structure Models 2013Estimating Shadow-Rate Term Structure Models with Near-Zero Yields 2016Transmission of Quantitative Easing: The Role of Central Bank Reserves

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.