Arbitrage-free Nelson-Siegel model for multiple yield curves
Riccardo Brignone, Christoph Gerhart, Eva Lütkebohmert
| Year of publication: |
2022
|
|---|---|
| Authors: | Brignone, Riccardo ; Gerhart, Christoph ; Lütkebohmert, Eva |
| Subject: | Affine processes | Dynamic factor model | Multiple term structures | Nelson-Siegel curve | Zinsstruktur | Yield curve | Theorie | Theory | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Arbitrage Pricing | Arbitrage pricing | Faktorenanalyse | Factor analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-021-00308-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013167786