Krippner, Leo - Department of Economics, Waikato Management School - 2006
forward rate unbiasedness hypothesis
yield curve
term structure of interest rates
ANS model
Nelson and Siegel model … is to use the augmented Nelson-Siegel (ANS)
model of the yield curve from Krippner (2006). The ANS model is an … intertemporally-consistent
and arbitrage-free version of the popular, parsimonious, and easy-to-apply Nelson and Siegel (1987 …