Coroneo, Laura; Nyholm, Ken; Vidova-Koleva, Rositsa - European Central Bank - 2008
We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically …, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999 … obtained from the NS model, at a 95 percent confidence level. We therefore conclude that the Nelson and Siegel yield curve …