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

Journal of Econometrics

Volumn 164, Issue 1, 2011, Pages 4-20

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

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

^b UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Bond market; Factor model; Forecasting; Interest rate; Yield curve

Indexed keywords

BOND MARKET; CANONICAL MODELS; CANONICAL REPRESENTATIONS; FACTOR MODEL; INTEREST RATES; PREDICTIVE PERFORMANCE; TERM STRUCTURE; YIELD CURVE;

EID: 79960381392     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.02.011     Document Type: Article

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