A theoretically consistent version of the nelson and siegel class of yield curve models

Applied Mathematical Finance

Volumn 13, Issue 1, 2006, Pages 39-59

  Krippner, Leo ^a  

^a UNIVERSITY OF WAIKATO   (New Zealand)

Author keywords

Heath Jarrow Morton framework; Nelson and Siegel model; Term structure of interest rates; Yield curve

Indexed keywords

EID: 33645677661     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504860500394367     Document Type: Article

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