A modified arbitrage-free Nelson-Siegel model : an alternative affine term structure model of interest rates
Dara Sim; Masamitsu Ohnishi
| Year of publication: |
2015
|
|---|---|
| Authors: | Sim, Dara ; Ohnishi, Masamitsu |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 22.2015, 1, p. 53-74
|
| Subject: | Affine | Arbitrage-free | Nelson-Siegel | Term structure of interest rates | Theorie | Theory | CAPM | Zinsstruktur | Yield curve | Arbitrage Pricing | Arbitrage pricing |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010511549