An arbitrage-free generalized Nelson-Siegel term structure model / Jens H.E. Christensen, Francis X. Diebold, Glenn D. Rudebusch.
Material type:
TextSeries: Working paper series (National Bureau of Economic Research) ; no. 14463.Publication details: Cambridge, Mass. : National Bureau of Economic Research, 2008Description: 32 p. : ill. ; 22 cmSubject(s): Bonds -- Prices -- Econometric models | ArbitrageLOC classification: HB1 | .N38 no. 14463Online resources: Click here to access online Summary: The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new arbitrage-free generalized Nelson-Siegel model and demonstrate its tractability and good in-sample fit.
| Item type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode |
|---|---|---|---|---|---|---|---|
Book
|
University of Macedonia Library Βιβλιοστάσιο Β (Stack Room B) | Research Papers | HB1.N38 no. 14463 (Browse shelf (Opens below)) | 1 | Available | 0013119164 |
Includes bibliographical references (p. 31-32).
The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new arbitrage-free generalized Nelson-Siegel model and demonstrate its tractability and good in-sample fit.
There are no comments on this title.