BEKKER, PAUL A.; BOUWMAN, KEES E. - In: International Journal of Theoretical and Applied … 12 (2009) 05, pp. 577-588
Empirical modeling of the yield curve is often inconsistent with absence of arbitrage. In fact, many parsimonious … models, like the popular Nelson-Siegel model, are inconsistent with absence of arbitrage. In other cases, arbitrage …