Christensen, Jens H. E.; Diebold, Francis X.; … - In: Econometrics Journal 12 (2009) 3, pp. 33-33
The Svensson generalization of the popular Nelson--Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson--Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time....