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An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses

Christensen, Bent Jesper; Wel, Michael van der - 2010

Persistent link: https://www.econbiz.de/10003947812

An arbitrage-free generalized Nelson-Siegel term structure model

Christensen, Jens H. E.; Diebold, Francis X.; … - In: The econometrics journal 12 (2009) 3, pp. 33-64

Persistent link: https://www.econbiz.de/10003948816

The affine arbitrage-free class of Nelson-Siegel term structure models

Christensen, Jens H. E. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003586276

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

Essays on financial econometrics : modeling the term structure of interest rates

Bouwman, Kees Evert - 2008

Persistent link: https://www.econbiz.de/10003671104

Challenges in macro-finance modeling

Kim, Don H. - 2007

This paper discusses various challenges in the specification and implementation of "macro-finance" models in which macroeconomic variables and term structure variables are modeled together in a no-arbitrage framework. I classify macro-finance models into pure latent-factor models ("internal...