We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically …-coupon yield curve data from the US market, we find that the no-arbitrage parameters are not statistically different from those … obtained from the NS model, at a 95 percent confidence level. We therefore conclude that the Nelson and Siegel yield curve …

We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically …-coupon yield curve data from the US market, we find that the no-arbitrage parameters are not statistically different from those … obtained from the NS model, at a 95 percent confidence level. We therefore conclude that the Nelson and Siegel yield curve …

estimates to account for parameter uncertainty. We find that for most European countries the dividend-price ratio and inflation …