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31
The affine
arbitrage
-free class of Nelson-Siegel term structure models
Christensen, Jens H. E.
;
Diebold, Francis X.
; …
-
2007
Persistent link: https://www.econbiz.de/10003604248
Saved in:
32
Essays on financial econometrics : modeling the term structure of interest rates
Bouwman, Kees Evert
-
2008
Persistent link: https://www.econbiz.de/10003671104
Saved in:
33
Challenges in macro-finance modeling
Kim, Don H.
-
2007
macroeconomic variables and term structure variables are modeled together in a no-
arbitrage
framework. I classify macro …
Persistent link: https://www.econbiz.de/10003675524
Saved in:
34
Consistency among trading desks
Heath, David
;
Ku, Hyejin
- In:
Finance and stochastics
10
(
2006
)
3
,
pp. 331-340
Persistent link: https://www.econbiz.de/10003379777
Saved in:
35
Challenges in macro-finance modeling
Kim, Don H.
- In:
Review / Federal Reserve Bank of St. Louis
91
(
2009
)
5/2
,
pp. 519-544
Persistent link: https://www.econbiz.de/10003924388
Saved in:
36
A term structure model with level factor cannot be realistic and
arbitrage
free
Dubecq, Simon
;
Gouriéroux, Christian
-
2012
Persistent link: https://www.econbiz.de/10009574575
Saved in:
37
How
arbitrage
-free is the Nelson-Siegel model?
Coroneo, Laura
;
Nyholm, Ken
;
Vidova-Koleva, Rositsa
- In:
Journal of empirical finance
18
(
2011
)
3
,
pp. 393-407
Persistent link: https://www.econbiz.de/10009302103
Saved in:
38
Arbitrage
-free Gaussian affine term structure model with observable factors
Wang, Gang
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 142-152
Persistent link: https://www.econbiz.de/10011398757
Saved in:
39
A modified
arbitrage
-free Nelson-Siegel model : an alternative affine term structure model of interest rates
Sim, Dara
;
Ohnishi, Masamitsu
- In:
Asia-Pacific financial markets
22
(
2015
)
1
,
pp. 53-74
Persistent link: https://www.econbiz.de/10010511549
Saved in:
40
A term structure model with level factor cannot be realistic and
arbitrage
free
Dubec, Simon
;
Gouriéroux, Christian
-
2010
Persistent link: https://www.econbiz.de/10009406003
Saved in:
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