We analyse the generalized, dynamic Nelson-Siegel approach including five factors to ensures the absence of arbitrage. In contrast to previous empirical analyses we define our risk factors so that they are observable and determine their significance using a series of cross sectional regressions....

We analyse the generalized, dynamic Nelson-Siegel approach including five factors to ensures the absence of arbitrage. In contrast to previous empirical analyses we define our risk factors so that they are observable and determine their significance using a series of cross sectional regressions....