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...

The popular Nelson-Siegel [Nelson, C.R., Siegel, A.F., 1987. Parsimonious modeling of yield curves. Journal of Business 60, 473-489] yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold-Li [Diebold, F.X., Li, C., 2006. Forecasting the term structure of...

We propose and illustrate a Markov-switching multifractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence and long memory. Empirical exploration suggests MSMD’s superiority relative...