How arbitrage-free is the Nelson-Siegel model?
Year of publication: |
2011
|
---|---|
Authors: | Coroneo, Laura ; Nyholm, Ken ; Vidova-Koleva, Rositsa |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 3, p. 393-407
|
Subject: | Nelson-Siegel model | No-arbitrage restrictions | Affine term structure model | Theorie | Theory | Zinsstruktur | Yield curve | Arbitrage Pricing | Arbitrage pricing |
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