Search Results - subject:"Arbitrage-free Nelson–Siegel model"

What drives jumps in the secured Overnight Financing Rate? : evidence from the arbitrage-free Nelson-Siegel model with jump diffusion

Fang, Dong-Jie; Yeh, Zong-Wei; He, Jie-Cao; Lin, Shih-kuei - In: Pacific-Basin finance journal 86 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015095106

Foreign trade and China's yield curve during the COVID-19 pandemic : an analysis based on an extended arbitrage-free Nelson–Siegel model

Hong, Zhiwu; Wang, Zhenhan; Li, Xinda - In: Research in international business and finance 70 (2024) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10015055886

Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model

Godin, Frédéric; Eghbalzadeh, Ramin; Gaillardetz, Patrice - In: Review of derivatives research 26 (2023) 2/3, pp. 171-206

Persistent link: https://www.econbiz.de/10014423872

Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model: Brazilian evidence

Caldeira, João F.; Moura, Guilherme V.; Santos, André … - In: EconomiA 17 (2016) 2, pp. 221-237

that the arbitrage-free Nelson–Siegel model is able to outperform all other benchmark models when longer forecasting …

Persistent link: https://www.econbiz.de/10011858464

Forecasting the yield curve with the arbitrage-free dynamic Nelson-Siegel model : Brazilian evidence

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Economia : revista da ANPEC 17 (2016) 2, pp. 221-237

that the arbitrage-free Nelson-Siegel model is able to outperform all other benchmark models when longer forecasting …

Persistent link: https://www.econbiz.de/10011865707

Cohort and value-based multi-country longevity risk management

Sherris, Michael; Xu, Yajing; Ziveyi, Jonathan - In: Scandinavian actuarial journal 2020 (2020) 7, pp. 650-676

Persistent link: https://www.econbiz.de/10012313720

Term structure analysis with big data : one-step estimation using bond prices

Andreasen, Martin Møller; Christensen, Jens H. E.; … - In: Journal of econometrics 212 (2019) 1, pp. 26-46

Persistent link: https://www.econbiz.de/10012303862

Can spanned term structure factors drive stochastic yield volatility?

Christensen, Jens Henrik Eggert; Lopez, Jose A.; … - Federal Reserve Bank of San Francisco - 2014

The ability of the usual factors from empirical arbitrage-free representations of the term structure—that is, spanned factors—to account for interest rate volatility dynamics has been much debated. We examine this issue with a comprehensive set of new arbitrage-free term structure...

Persistent link: https://www.econbiz.de/10011026936