Diebold, Francis; Rudebusch, Glenn; Christensen, Jens H. E. - National Bureau of Economic Research (NBER) - 2007
We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our...