Krippner, Leo - Department of Economics, Waikato Management School - 2005
arbitrage-free version of the Nelson and Siegel (1987) model, while the shape of the yield curve model from that model should …-free version of the Nelson and Siegel (1987) model,
while the shape of the yield curve model from that model should correspond to …
real output growth
Nelson and Siegel model
Heath-Jarrow-Morton framework
JEL Classification
E31, E32, E43 …