How arbitrage-free is the Nelson-Siegel Model?
Year of publication: |
2008-02
|
---|---|
Authors: | Coroneo, Laura ; Nyholm, Ken ; Vidova-Koleva, Rositsa |
Institutions: | European Central Bank |
Subject: | Affine term structure models | Nelson-Siegel model | No-arbitrage restrictions | non-parametric test |
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