Affine Nelson-Siegel model
We introduce a discrete-time version of the dynamic yield curve model proposed by Diebold and Li (2006) which is based on Nelson and Siegel (1987). As in Christensen et al. (2010) we found an affine process that matches the model.
Year of publication: |
2011
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Authors: | Alfaro, Rodrigo A. |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 110.2011, 1, p. 1-3
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Publisher: |
Elsevier |
Keywords: | Nelson-Siegel Model Yield curve Euler equation Affine models |
Saved in:
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