An arbitrage-free generalized Nelson-Siegel term structure model

Econometrics Journal

Volumn 12, Issue 3, 2009, Pages

  Christensen, Jens H E ^a   Diebold, Francis X ^b,c   Rudebusch, Glenn D ^a  

^a FEDERAL RESERVE BANK OF SAN FRANCISCO   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

^c NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Arbitrage free; Nelson Siegel; Svensson extension; Yield curve

Indexed keywords

EID: 77955248793     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2008.00267.x     Document Type: Article

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