A Note on the Nelson-Siegel Family
We study a problem posed in Bj"ork and Christensen (1999): Does there exist any nontrivial interest rate model that is consistent with the Nelson-Siegel family? They show that within the Heath-Jarrow-Morton framework with deterministic volatility structure the answer is no. Copyright Blackwell Publishers Inc 1999.
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Volume (Year): 9 (1999)
Issue (Month): 4 ()
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