Christensen, Jens H.E.; Diebold, Francis X.; Rudebusch, … - In: Journal of Econometrics 164 (2011) 1, pp. 4-20
We derive the class of affine arbitrage-free dynamic term structure models that approximate the widely used Nelson-Siegel yield curve specification. These arbitrage-free Nelson-Siegel (AFNS) models can be expressed as slightly restricted versions of the canonical representation of the...
