Diebold, Francis X.; Piazzesi, Monika; Rudebusch, Glenn D. - Center for Financial Studies - 2005
examination of the relationship between two prominent dynamic, latent factor models in this literature: the Nelson-Siegel and … the relationship between two prominent dynamic, latent
factor models in this literature: the Nelson-Siegel and affine no …-arbitrage term structure
models.
JEL Classification: G1, E4, E5
Keywords: Term structure, yield curve, Nelson-Siegel …