Diebold, Francis; Rudebusch, Glenn; Christensen, Jens H.E. - National Bureau of Economic Research (NBER) - 2008
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. Indeed,...