Arbitrage-free Nelson-Siegel model for multiple yield curves
Riccardo Brignone, Christoph Gerhart, Eva Lütkebohmert
| Year of publication: |
2022
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|---|---|
| Authors: | Brignone, Riccardo ; Gerhart, Christoph ; Lütkebohmert-Holtz, Eva |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 16.2022, 2, p. 239-266
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| Subject: | Affine processes | Dynamic factor model | Multiple term structures | Nelson-Siegel curve | Theorie | Theory | Zinsstruktur | Yield curve | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Prognoseverfahren | Forecasting model |
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