Laurini, Márcio Poletti; Neto, Armênio Westin - In: International Econometric Review (IER) 6 (2014) 2, pp. 78-100
This work presents an analysis of the presence of arbitrage opportunities in the term structure of interest rates, through the estimation of the affine generalized Nelson-Siegel model with correction for no-arbitrage. We challenge the necessity of the condition of noarbitrage using the Brazilian...
